Hi Shailendra,
 Please refer below Sample.
Code
C#
private void OnClick(object sender, EventArgs e)
{
    int count = checkedListBox1.SelectedItems.Count;
    List<string> selectedItems = new List<string>();
    List<string> notSelectedItems = new List<string>();
    for (int i = 0; i < checkedListBox1.SelectedItems.Count; i++)
    {
        selectedItems.Add(checkedListBox1.SelectedItems[i].ToString());
    }
    for (int i = 0; i < checkedListBox1.Items.Count; i++)
    {
        if (!checkedListBox1.SelectedItems.Contains(checkedListBox1.Items[i]))
        {
            notSelectedItems.Add(checkedListBox1.Items[i].ToString());
        }
    }
    MessageBox.Show("Selected Items: " + string.Join(",", selectedItems.ToArray()) + "\nNot Selected Items: " + string.Join(",", notSelectedItems.ToArray()));
}
VB.Net
Private Sub OnClick(ByVal sender As Object, ByVal e As EventArgs)
    Dim count As Integer = checkedListBox1.SelectedItems.Count
    Dim selectedItems As List(Of String) = New List(Of String)()
    Dim notSelectedItems As List(Of String) = New List(Of String)()
    For i As Integer = 0 To checkedListBox1.SelectedItems.Count - 1
        selectedItems.Add(checkedListBox1.SelectedItems(i).ToString())
    Next
    For i As Integer = 0 To checkedListBox1.Items.Count - 1
       If Not checkedListBox1.SelectedItems.Contains(checkedListBox1.Items(i)) Then
            notSelectedItems.Add(checkedListBox1.Items(i).ToString())
       End If
    Next
    MessageBox.Show("Selected Items: " & String.Join(",", selectedItems.ToArray()) & vbLf & "Not Selected Items: " & String.Join(",", notSelectedItems.ToArray()))
End Sub
Screenshot
