Index: wp-includes/user.php
===================================================================
--- wp-includes/user.php	(revision 14765)
+++ wp-includes/user.php	(working copy)
@@ -621,8 +621,10 @@
 		if ( $show_option_all )
 			$output .= "\t<option value='0'>$show_option_all</option>\n";
 
-		if ( $show_option_none )
-			$output .= "\t<option value='-1'>$show_option_none</option>\n";
+		if ( $show_option_none ) {
+			$_selected = -1 == $selected ? " selected='selected'" : '';
+			$output .= "\t<option value='-1'$_selected>$show_option_none</option>\n";
+		}
 
 		foreach ( (array) $users as $user ) {
 			$user->ID = (int) $user->ID;