If you reply to the text message, it will cancel all alerts going to that number.
So if you are signed up to get alerts on 3 domains and only want to cancel one, you'll have to send one unsubscribe (which will cancel all 3) and then re-add the ones you still want to be active.
Not ideal in that edge case, I know, but I wanted to make sure unsubscribing was easy in case someone got cheeky and starting signing other people up.