I'd say it's extremely rude if you server has already walked away to put your order in. I have, when ordering, said "I'll have X with this and that" and then said "Actually, never mind I'll have Y, sorry" to the server, which seems like a mild inconvenience at most.
My father is the worst about this though, and I consider what he does to be a tiny bit rude. He's one of those people who, midway through his order, will say "I'll have....uh...ah....the....ah....burrito...and uh....does that come with the pico on the side? Uh....okay and I'll have...uh...nevermind, that has cheese on it....I'll have the taco instead...hm....or do I want the salad?"