Clan leagues are something completely separate from normal clan challenges. You can play ordinary challenge games for as many clans as you want.
The clan leagues involve clans entering a team into a separate competition - each team plays every other team (like a football tournament) and get points for success. At the end of the 'season' there is a completed league table showing who is the champion (again, like a football tournament). You can only play in the league for one clan (again like a football tournament - you can't play for more than one team at a time).
If you want to play in the clan leagues, you have to say which of your clans you want to play for and this is what you did at some point. You can change it by going to 'my clan settings' and choosing a different clan or choosing 'no league clan'.