A: Choose A New Rule says:

“Look through the draw and discard piles for a New Rule card of your choice and play it. Reshuffle the discard pile into the draw pile. (Don’t shuffle this card in – use it to start the new discard pile.)”

The New Rule you just chose is not getting discarded. You pulled it and put it into play. It’s in the middle of the table with the rest of the New Rules. The Goal is out there (if there’s a Goal). People have Keepers in play too. None of these cards in play are going anywhere.

After you use the card Choose A New Rule, however, it would normally go into the discard pile, which you are instructed to reshuffle into the draw pile. But we don’t want the card Choose A New Rule to potentially come right back up again too soon, just by chance, so we want you to leave that card out of the reshuffle, and use it to start the new discard pile.

I think the confusion comes from the reference to “this card” which might have been interpreted to be the New Rule you picked, rather than “this card” which you’re using and reading right now, i.e. Choose A New Rule.