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A novel, to the best of our knowledge, type of multi-focal all-dielectric grating lens is proposed in this work, and focusing characteristics of cylindrical vector beams through the lens are investigated in detail. Based on the negative refraction mechanism of negative-first-order diffraction and Fermat’s principle, a multi-focal lens is designed. By analyzing the diffraction effect of the grating, the essential factor that affects the focus quality is found. Through a two-step optimization process, secondary foci and the focal displacement of primary foci caused by high-order diffractions are overcome, and the quality of the focal field is significantly improved. This work provides a reference for micro-lens design for focus modulation, and the research results also have potential applications in the fields of light-field manipulation and optical tweezers.