If I want to remove my answer, but I see a lot of comments belonging to that, what is the ethical way to remove that answer? Should I keep the comments somehow?
Comments are second class citizens, as Yannis points out.
If the comments made you aware that your answer is wrong, they have served their purpose by making you delete your answer.
If you think someone else might repeat the mistake you made in your answer, you could consider adding a comment to the question stating something like
I had posted an answer suggesting x earlier, but I was made aware by @user1 and @user2 that this won't solve the problem because....