Read MoreRecord highs in April, but the case for not selling in May
3. Sell the Russian ruble versus the U.S. dollar. That's what Wells Fargo Securities' Head of Currency Strategy Nick Bennenbroek said. He's in the camp that believes Ukraine and Russia will be a problem at least for the foreseeable future. He thinks lowered economic forecasts in Russia and net private capital outflows are going to have a negative effect on Russia's currency.
"We see the USD/RUB at 36.75 in 12 months, with the risks tilted to a faster decline in the ruble if the Ukrainian crisis continues," Bennenbroek said. That implies that the dollar will strengthen against the ruble over the next year.
Read MoreTraders question stock market rally
4. Sell iron ore and copper. That's what Jeffrey Sica of Sica Wealth Management is telling his clients. Sica believes the slowing growth profile of the Chinese economy means that stockpiles and inventories of those commodities will build up and keep prices relatively depressed.
Of course, not all investors are selling, much less leaving the market. Portfolio Asset Management's Lee Munson said he sees May as an opportune time to invest.
"If you're a long-term investor, remember that statistically, you're still likely to make money," Munson said. "You might make less money, but you are still making money."
"Sell in May and go away" may only apply to stock market investors, but given the current news flow and geopolitical risks, some are selling other assets as well.
—By CNBC's Dominic Chu and Elizabeth Schulze.