Seems it's a bug that at leat I'm not able to Unfollow a deleted question (maybe it's true for deleted answer too) either from the Unfollow link under the question itself (not exist) or from the "following" tab in profile.
Unfollowing from "following" tab says this error:
This post has been deleted; deleted posts can't be voted on
Edit:
per reply in comment, there is same question asked on main Meta site already, and now has answered.
