Q: I am trying to delete some of my thousands of pictures from my iPhone, but I do not want to delete them entirely from my iCloud. Is there a way to do so?
A: iCloud Photo Library is a synchronization service only. If you delete a photo on any device that action will sync to iCloud and all other devices on that account.
If all your photos are already on the Mac, you can disable photo library in settings on both devices. Then delete photos from the iPhone and they should stay on the Mac. But you cannot use iCloud and accomplish what you wish - it is a sync service only, not archival storage.