Is it possible to cancel an EIN?

The answer is No. It is not possible to cancel an EIN once it is requested. Once it is assigned, it becomes the permanent Federal taxpayer identification number for that entity. Regardless of whether the EIN is ever used to file Federal tax returns.

Nevertheless, it's possible to close a business account. 

To close your account, you have to mail the IRS requesting this, including the complete legal name of the entity, the EIN, business address, and a cover letter explaining the reason to close the account. If possible, you have to include the verification letter you had received. 

Where to mail your request?

The IRS can eventually change the address they provide. We recommend you always check their website: https://www.irs.gov/businesses/small-businesses-self-employed/canceling-an-ein-closing-your-account