The best way to change a custom field type is to recreate the field in the type that you want and use the 'Pipedrive System ID feature' to transfer the existing data into the new field.  

• Create a new custom field with the correct custom field type.
• Copy and paste the old custom field information into the new custom field through exporting and importing. This step will allow you to "update" the newly created custom field with the data from the old custom field. 
• Delete the old custom field once all of the correct information has been moved to the new custom field.

Before any exporting, make sure the new custom field with the correct type has been created in your account, so the old custom field information has somewhere to move to.
To create a custom field, go to Settings > Customize > Customize Fields and select the category of custom field you wish to add to Pipedrive.
While you are in the Customize Fields setting page, it may be a good idea to edit the name of the existing custom field to include the word "old", to avoid any confusion during the updating process. 

To get started with your export, you can go to the deals, people, or organization List View the custom field is under. You will need to include the following columns in your List View: 

• Name/Title
• Old Custom field
• New Custom field 
• Item ID (deal, person, or organization)

Note: In the screenshots below, the values under the ‘Example text custom field’  under deals will be moved over to the newly created ‘Example single option custom field’ under deals. 

Once you have these four columns applied in your list view, you can then export the list to a spreadsheet.

In the exported spreadsheet, you will then have to copy and paste all of the values under the old custom field into the cells under the new custom field. This will allow the new custom field to be "updated" with the information from the old custom field when you re-import your spreadsheet. 

Once you save the updated spreadsheet, you can then import the spreadsheet back into Pipedrive by going to Settings > Import data, and hitting the From a spreadsheet button. You can learn more about importing here.

When you get to the mapping step of your import, it’s important to make sure all of the columns in your spreadsheet are mapped to the correct field in your Pipedrive account. 

Once everything is mapped, you can hit the Next button to proceed with your import. 

Once you confirm the information successfully transferred over from the old custom field to the new custom field, you can delete the old one.