Documentation for JIRA 4.4. Documentation for other versions of JIRA is available too. 
There is always an Unknown option in Component and Fix Version/s fields when creating/editing an issue.
To remove the field, make the Components and Fix Version/s field a required field in field configuration Administration >> Issue Fields >> Field Configurations. This will cause the Unknown option to disappear and also make the field as a mandatory field on Create Issue screen. For more information on field configuration, please refer to our documentation on Specifying Field Behaviour.
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