At any time, you may choose to disable Direct Messaging entirely. You can make this change in your Account Preferences.
Access your Account Preferences via the "gear" icon in the upper left of your profile. Then choose "Direct Messaging".
When Direct Messaging is disabled, a user who follows you will be unable to initiate a Direct Message to you. When searching their list of connections in Direct Messaging, the user will see a notice that you have disabled the feature.