To remove multiple leads from your campaign, you should:
Filter them by status, select them all regardless of the status or manually select them
Click on the arrow, and choose select all in campaign
Now that you have all leads selected, you can click on the delete button on the right hand side
Confirm that you want to delete the selected leads
FAQ
Q: I have deleted leads accidentally, can I recover them?
A: Unfortunately, deleted leads can not be recovered.