You can check the count of checked items and remove on while loop as below
while (checkedListBox1.CheckedItems.Count > 0) {
checkedListBox1.Items.Remove(checkedListBox1.CheckedItems[0]);
}
OR
int lastIndex =checkedListBox1.Items.Count-1;
for(int i=lastIndex ; i>=0 ; i--)
{
if (checkedListBox1.GetItemCheckState(i) == CheckState.Checked)
{
checkedListBox1.Items.RemoveAt(i);
}
}