I chose wrong license during submission on arXiv, what shall I do?
There are precedents that suggest this may be unacceptable to the IEEE, although the only way to know for sure is to ask.  They may be more sympathetic if they see it as an unfortunate mistake, rather than an attempt to undermine their copyright policies.  On the other hand, they may still wish to avoid any precedents that could be used to undermine those policies, regardless of whether that was your intent.


  Can I just withdraw the current version, and resubmit it to arXiv under non-exclusive license?


If you try to do that, the arXiv's plagiarism/duplicate detection will alert them and they will be upset.  You are definitely not allowed to withdraw and then resubmit independently.

Instead, you should write to them to ask what, if anything, you can do to fix this.

One option is to update the current paper.  I think you are allowed to choose a new license for the update, but I assume it does not change the license for the previous version (which will still be available).  If that's the case, then this will not solve your problem.

Creative Commons licenses are irrevocable, so there is nothing you can do to prevent the article from being distributed under the CC0 license if someone has a CC0-licensed copy and wishes to do that (see this FAQ).  However, the arXiv might be willing to change the license they distribute the article under in the future, especially if your paper was just posted recently and you explain that the license choice was a mistake.  I don't know what the chances are that they would agree, but it can't hurt to ask.

This would not completely solve the problem (anyone who downloaded the paper already under the CC0 license could still do whatever they wanted with it and redistribute it further), but it would mitigate it.  I do not know how the IEEE would react.

Ultimately, there's no perfect solution, since nothing you can do will ever eliminate the possibility of CC0-licensed copies somewhere on the internet.  All you can do is address the issue as best you can and then explain it to the IEEE and hope they feel you have done enough.