TOKYO, May 31 (Reuters) - The Bank of Japan held off on buying exchange-traded funds (ETF) in May, data showed on Monday, the first time it stayed away from the market for an entire month since Governor Haruhiko Kuroda took the central bank's helm in 2013.

The data highlights how the central bank is gradually retreating from Kuroda's "bazooka" stimulus programme, as years of heavy asset buying has drawn fire for distorting markets and loading up the BOJ's balance sheet with risk.

"It's desirable to restrain the pace of increase in the BOJ's holdings of ETFs and real-estate trust funds as much as possible," BOJ board member Hitoshi Suzuki has said in a speech last week.

In a review of policy tools in March, the BOJ ditched a numerical target on the pace of its ETF purchases and pledged to step into the market only in times of severe market strain.

The decision was part of the BOJ's efforts to make its stimulus programme more sustainable, as the hit to growth from the COVID-19 pandemic could delay achievement of its elusive 2% inflation target.

The BOJ made no changes from May to its bond-buying schedule for June, released on Monday. (Reporting by Leika Kihara; Editing by David Gregorio)