Kinda late to the party in 2022, however none of the solutions here worked for me (idk why) using .Net_6.0_windows, so I've come up with this solution:
Label focusoutLabel = new Label() {
Text = "",
Name = "somegenericplaceholdernamethatwillneverbeusedinmyprogram",
Visible = false,
};
this.Controls.Add(focusoutLabel);
this.ActiveControl = focusoutLabel;