CALGARY, Alberta—China’s Cnooc Ltd. sold off its majority stake last month in a small Canadian oil and gas venture, according to an executive in the company, a sign the state-controlled energy giant is retrenching after spending billions to establish a foothold in the North American market.

Five years after buying 60% of Northern Cross (Yukon) Ltd., a privately-held firm with exploration leases in a remote area of the Canadian north, the Chinese company sold its stake to Canadian investors who held minority shares, the Calgary-based...