I have a theory, and it is purely speculation on my part but I believe the CX-5 Diesel was only released to serve as a "pricing anchor".
This pricing anchor serves two purposes. First, let's assume that a customer wants to compare trims and starts at the very top, what would they look at? Answer: the most expensive. Now that they have a dollar amount in mind, what features are included, what is missing, everything else looks less expensive and a better value for the cost. When I used to sell electronics way back in the day (Home Theater at Circuit City) I would always show a potential customer the most expensive system we had. That $11,000 plasma TV? Looks pretty good right? Well let me show you show you some other TVs that are less expensive and almost as good. That same customer who initially had a $500 budget is now more willing to spend $1,000 to $2,000. I had no intent on selling them the $11,000 plasma TV but it gave them an idea of how much the (ahem) very best cost.
Secondly, it is no secret that Mazda wishes to move upmarket. In going up market towards luxury brands you have to have, how do you say, a je ne sais quoi? A certain prestige that is expected from luxury brands. By bringing a diesel engine to the modern market might give Mazda a little more reputation among the luxury car buyers. And when that prestige is attained they can increase pricing to go with it. If they don't sell any, no problem. It was a feather in their cap towards true luxury status.