Disable Comments Feed

Something like this should work.

function wpse45941_disable_feed( $comments ) {
    if( $comments ) {
        wp_die( 'No feed available' );
    }
}
add_action('do_feed', 'wpse45941_disable_feed',1 );
add_action('do_feed_rdf', 'wpse45941_disable_feed',1 );
add_action('do_feed_rss', 'wpse45941_disable_feed',1 );
add_action('do_feed_rss2', 'wpse45941_disable_feed',1 );
add_action('do_feed_atom', 'wpse45941_disable_feed',1 );

Note: I haven’t tested that at all, I just wrote it right into the answer box.