To prevent all chips from being deselected you can use the method setSelectionRequired:

chipGroup.setSelectionRequired(true)

You can also define it in the layout using the app:selectionRequired attribute:

<com.google.android.material.chip.ChipGroup
    app:singleSelection="true"
    app:selectionRequired="true"
    app:checkedChip="@id/..."
    ..>

Note: This requires a minimum of version 1.2.0