Mathematicians pick an arbitrary complex number by writing "Let c ∈ ℂ." There are an infinite number of possibilities, but it doesn't matter. They pick the imaginary unit by writing "Let i ∈ ℂ such that i² = −1." There are two possibilities, but it doesn't matter.
If two things are set theoretically indistinguishable then one can’t say “pick one and call it i and the other one -i”. The two sets are the same according to the background set theory.