In the past, unfollowing a bunch of people on Twitter was a pain and also made you lose a lot of people. There were various reasons for that. One was because of the fact that it was quite a hassle to unfollow users manually one by one. The second reason was that if someone was already following you then you would lose your ability to interact with him/her. 

If you don't want it to do that, you can set it to unfollow everyone you are not following or some of them. You will get an option to "All" or "Not following", select all to unfollow them all.