Yes, you can. Simply select disconnect in the Lumia Share application. When doing so, your Lumia also won't automatically connect the next time.
- What can I do if the camera on my Lumia phone does not work properly?
- Where are photos saved by the Lumia Selfie app on my phone?
- What is the Lumia Selfie app for my Lumia phone?
- How can I launch the Lumia Selfie app on my phone?
- Why are the photos taken by Lumia Selfie different than with a normal camera on my phone?