转移字符的情况下，\\=\。

楼主说不行，我还专门测试了下。

a = '{"code":"A00185","data":"\\u5bf9\\u4e0d\\u8d77\\uff0c\\u60a8\\u77ed\\u65f6\\u95f4\\u53d1\\u8868\\u535a\\u6587\\u8fc7\\u591a\\uff0c\\u8bf7\\u591a\\u4f11\\u606f\\uff0c\\u6ce8\\u610f\\u8eab\\u4f53\\uff01\\u611f\\u8c22\\u60a8\\u5bf9\\u65b0\\u6d6a\\u535a\\u5ba2\\u7684\\u652f\\u6301\\u548c\\u5173\\u6ce8\\uff01"}'
b = a.replace('\\','hehehehe')
print(b);

结果是

{"code":"A00185","data":"heheheheu5bf9heheheheu4e0dheheheheu8d77heheheheuff0cheheheheu60a8heheheheu77edheheheheu65f6heh
heheu95f4heheheheu53d1heheheheu8868heheheheu535aheheheheu6587heheheheu8fc7heheheheu591aheheheheuff0cheheheheu8bf7hehehe
eu591aheheheheu4f11heheheheu606fheheheheuff0cheheheheu6ce8heheheheu610fheheheheu8eabheheheheu4f53heheheheuff01heheheheu
11fheheheheu8c22heheheheu60a8heheheheu5bf9heheheheu65b0heheheheu6d6aheheheheu535aheheheheu5ba2heheheheu7684heheheheu652
heheheheu6301heheheheu548cheheheheu5173heheheheu6ce8heheheheuff01"}

看到楼主新帖的代码片段，再更一下，楼主没见代码提示都变红了？

a.replace('\\','\')

这句本来就是错误的写法，因为\'转义将一个右引号转义了之后，第二个字符串就不完整了，当然会报错。
另外，按照题主的要求，本来就不需要替换，因为这个字符串本来就是一个\，在定义字符串的时候，写两个\\，才等于真正的一个\。
可以用以下代码验证：

a = '{"code":"A00185","data":"\\u5bf9\\u4e0d\\u8d77\\uff0c\\u60a8\\u77ed\\u65f6\\u95f4\\u53d1\\u8868\\u535a\\u6587\\u8fc7\\u591a\\uff0c\\u8bf7\\u591a\\u4f11\\u606f\\uff0c\\u6ce8\\u610f\\u8eab\\u4f53\\uff01\\u611f\\u8c22\\u60a8\\u5bf9\\u65b0\\u6d6a\\u535a\\u5ba2\\u7684\\u652f\\u6301\\u548c\\u5173\\u6ce8\\uff01"}'
print(a);

输出结果

{"code":"A00185","data":"\u5bf9\u4e0d\u8d77\uff0c\u60a8\u77ed\u65f6\u95f4\u53d1\u8868\u535a\u6587\u8fc7\u591a\uff0c\u8bf
7\u591a\u4f11\u606f\uff0c\u6ce8\u610f\u8eab\u4f53\uff01\u611f\u8c22\u60a8\u5bf9\u65b0\u6d6a\u535a\u5ba2\u7684\u652f\u630
1\u548c\u5173\u6ce8\uff01"}

几番交涉，终于知道了题主的目的，就是想解析出json中的中文而已。。。

很简单

import json
a = '{"code":"A00185","data":"\\u5bf9\\u4e0d\\u8d77\\uff0c\\u60a8\\u77ed\\u65f6\\u95f4\\u53d1\\u8868\\u535a\\u6587\\u8fc7\\u591a\\uff0c\\u8bf7\\u591a\\u4f11\\u606f\\uff0c\\u6ce8\\u610f\\u8eab\\u4f53\\uff01\\u611f\\u8c22\\u60a8\\u5bf9\\u65b0\\u6d6a\\u535a\\u5ba2\\u7684\\u652f\\u6301\\u548c\\u5173\\u6ce8\\uff01"}'
js = json.loads(a)
print (js)

输出

{'data': '对不起，您短时间发表博文过多，请多休息，注意身体！感谢您对新浪博客的支持和关注！', 'code': 'A00185'}