It can be done but it is somewhat of a convoluted process.
Click on the "My Stuff"
Then click the "Followed Lists"
Then click the "Followed Threads"
Then Click on the "Edit Followed Threads"
link on the right side of the page
Click on the empty left box of the threads that you want to Remove. This will put a a checkmark in the box.
Scroll to the bottom of the page and click the "Update Followed Threads"
Once you click the "Update Followed Threads" button. the threads will be removed from your followed list.
Do the same thing for any of the "Followed Forums"
or "Followed Users"
you wish to stop following.