I dont' think you can do this with CF easily, but you can with code, assuming there is no other code in that worksheet module and you do not have any other colors you want to mess with.
Right click your worksheet tab and select View Code, paste this on the right...
Private rngPrevious As Range
Private Sub Worksheet_SelectionChange(ByVal Target As Range)
If Not rngPrevious Is Nothing Then rngPrevious.Interior.ColorIndex = xlNone
Target.Interior.ColorIndex = 3
Set rngPrevious = Target