Pedro Garciya Lopez,
<!DOCTYPE html>
<html>
<head>
<meta http-equiv="content-type" content="text/html; charset=UTF-8">
<title> - jsFiddle demo by macmacins</title>
<script type='text/javascript' src='http://code.jquery.com/jquery-1.9.1.js'></script>
<script>
$(window).load(function(){
var ops = $("#cityList option");
$("#Filter").on('input',function()
{
var search_str = this.value.toLowerCase(), conc;
$("#cityList option").remove();
ops.each(function(indx, element){
this.text.toLowerCase().indexOf(search_str)==0 && ($("#cityList").append($(this)))
});
conc = !$("#cityList option").size()
conc && $("#cityList").append($('<option value="-1">Совпадейний не найдено</option>'));
$("#cityList").prop("disabled", conc);
$("#cityList :selected").prop("selected", false);
$("#cityList option:first").prop("selected", true);
})
});
</script>
</head>
<body>
<input style="display: block" id="Filter">
<select id="cityList" size="8">
<option>Брянск</option>
<option>Житомер</option>
<option>Пенза</option>
<option>Бердянск</option>
</select>
</body>
</html>