Can I remove my site from Alexa?

No. Alexa provides free traffic metrics for all websites. The data comes from a variety of sources that contribute to our global traffic panel.

Alexa has a “Site Overview” page for every website in the world. We even have Site Overview pages for sites that don’t exist, such as this-site-does-not-really-exist-at-all.com:  http://www.alexa.com/siteinfo/this-site-does-not-really-exist-at-all.com

You can use robots.txt to remove your site from the Internet Archive and to prevent Alexa from crawling your website.   Robots.txt changes will not affect the traffic information that Alexa shows, as that data does not come from crawling your website.