You may be just learning to create a menu or have accidentally created one. In any case, you can quickly delete a menu by clicking over the “Delete Menu” button right at the bottom at this menu options page.
Navigate to this option by going to your website admin, browse to Appearance > Customize > Menus > Select a Menu > Add Items.
Another option you have is to keep the menu, and only remove the location selection from it. This way you can have unlimited menus that are not actually shown on the website to be used at a later stage.