ureech,
<!DOCTYPE html>
<html>
<head>
<title>Untitled</title>
<meta charset="utf-8">
<style type="text/css">
.red{
color:red;
}
.red option:nth-child(n + 1){
color: #000000;
}
option:nth-child(1){
color: red;
}
</style>
<script src="https://ajax.googleapis.com/ajax/libs/jquery/1.12.0/jquery.min.js"></script>
</script>
<script>
$(function(){
var dropdown = $("select");
dropdown.on("change",function() {
dropdown.toggleClass("red", !this.value)
}).change()
})
</script>
</head>
<body>
<select>
<option value="">Menu</option>
<option value="/groups">
Группы
</option><option value="/activity">
Активность
</option><option value="/comments">
Комментарии
</option><option value="/users">
Люди
</option>
</select>
</body>
</html>