One way to do this is to just add a "None" option and mark the field required. Another is to use the Layout parameter to customize how it displays on profile. Specifically under Parameters > Layouts you can add an IF substitution to "Profile Value Layout" to condition how no value displays. Example as follows.

[cb:if FIELD_NAME=""]Nothing Selected[cb:else][value][/cb:else][/cb:if]

Replace FIELD_NAME with the actual name of your field. If you want to change the empty field indicator for all fields you can adjust the "Empty Field Text" parameter in CB > Configuration > User Profile.