If we want to deal with the square root as a function, we must make a choice concerning which square root we have in mind. If we are dealing with non-negative real numbers, then there is a natural choice: we take the non-negative square root.
If we are dealing with complex numbers, then there is no natural choice; it depends upon the context. You wrote that “we usually remove the negative axis”. Indeed, but there are infinitely many choices. Suppose, for intance, that we remove the numbers of the form $ai$, with $a\leqslant0$. Then every remaining complex number $z$ can be written as $r\bigl(\cos(\theta)+i\sin(\theta)\bigr)$, with $r>0$ and $\theta\in\left(-\frac\pi2,\frac{3\pi}2\right)$, and we can define $s(z)=\sqrt r\left(\cos\left(\frac\theta2\right)+i\sin\left(\frac\theta2\right)\right)$. This function $s$ is also a square root, and it is a continuous (and even an analytic) one.
In order to work with a single square root function, we must leave the complex complex plane and work in a Riemann surface instead.