You can use CB Privacy and its profile privacy field, which will hide them from userlists as well. If you mean to just be excluded from specific userlists you can create a checkbox field then add a filter to your userlist to not show anyone that doesn't have the field checked or does have it checked.
With that said I believe you've a misunderstanding of GDPRs "Privacy by Design", which has actually nothing to do with forward facing aspect of your site and everything to do with the security of their data (e.g. no exposing passwords to others, no plain text stored passwords, plain text stored credit card numbers, or other plain text stored highly sensitive personal data). You do not have to offer them an option to be excluded from your userlist. You don't have to offer them privacy selection options on the forward facing aspect of your site at all in fact. This is covered in my blog below, which I highly recommend everyone read.
www.joomlapolis.com/blog/kyle/18788-gdpr-compliance-with-community-builder