Multilingual learning for Neural Named Entity Recognition (NNER) involves jointly training a neural network for multiple languages. Typically, the goal is improving the NER performance of one of the languages (the primary language) using the other assisting languages. We show that the divergence in the tag distributions of the common named entities between the primary and assisting languages can reduce the effectiveness of multilingual learning. To alleviate this problem, we propose a metric based on symmetric KL divergence to filter out the highly divergent training instances in the assisting language. We empirically show that our data selection strategy improves NER performance in many languages, including those with very limited training data.