Regular Data Load:

For regular data loading jobs using Salesforce Data Loader, enable “Insert null values” check box to change record values to Blank or NULL.

Check the following steps for reference.

1.  Open Data Loader.

2.  Click Settings.

3.  Select Insert Null Values.

BULK API Data Load:

For Bulk API Data Load jobs using Salesforce Data Loader, use #N/A​ as the field value to change record values to Blank or NULL.

In case of Bulk API Enabled scenario, use #N/A​ in the columns. To set a field value to null when the Use Bulk API option is selected, use a field value of #N/A​.