It is the lonely I knew that works even in MP. It will be in the next version of DoaNE.
So you must to click on the button(in the middle of the screen) you can see in the screenshot.http://www.dawnofanewera.fr/images/ScreenShots/abandon%20Colony/AbandonCity0.JPG
And a popup will be launched and it will give you the choice to abandon your colony.
http://www.dawnofanewera.fr/images/ScreenShots/abandon%20Colony/AbandonCity1.JPG

I forgot to say you that if there are some citizens in your colony, they are automatically ejected!!