That may be pointless depending on your printing device(s). Even setting something's lineweight to zero, which will use one pixel on-screen and the thinnest line the printing device is capable of, will likely be more than a fortieth of a millimeter.
But if it does have meaning, though it doesn't seem you can do it in drawing, you can for printing, in the Edit Lineweights... list in the Plot Style Table Editor. I think the number of them may be fixed -- pick one you would probably never use [such as the fattest one], pick the Edit Lineweight button, and change it to 0.025. Then assign that lineweight to whatever color(s) you choose.
Kent Cooper, AIA