Keep the duty cycle the same for each LED regardless of how many are lit. Then the brightness of each LED will stay the same.
Let's say you have 10 LEDs and they're multiplexed so you light one at a time in rapid succession.
To light all 10, you'd light the first LED for 1/10th of the time, the 2nd LED for 1/10th of the time,... until you reach the 10th LED, then repeat.
To leave an LED off, you'd just skip that LED (have all LEDs off) for the amount of time that the LED would have been on. So, to light the 1st and 4th LEDs, the sequence would be: LED 1 on for 1/10th time, all LEDs off for 1/5th of the time (since LED 2 and 3 don't need to be lit), LED 4 on for 1/10th time, and so forth, all LEDs off for remainder of time, and so forth.