In order to handle rich semantics for complex data mining application, the formal concept of Multi-dimensional Complex Association Rule (MDCAR) was proposed. To mine it, a novel method based on Artificial Immune Gene Expression Programming (AIGEP) was introduced, where, new structures of antibody and immune cell were designed to decrease computing complexity, the special negative select strategy was presented to eliminate invalid or redundant immune cells according to system requirements, and a heuristic MDCAR reduction criterion was introduced, that is, a strong rule is fine only if the contra positive of it is strong. Experiments showed that the new method can mine MDCAR with good efficiency and high precision and improve the performance, in certain case, 10~1000 times higher than that without negative select strategy.