It could be a couple of things.
1. Maybe there is an unread email in your junk mail folder, or some other folder.
2. Are you seeing the Unread Message notification on your logon screen? If so, click here and download TweakUI. After installing TweakUI, run the program, locate and select Logon in the left pane. Then click on Unread Mail. Unselect and uncheck the Show unread mail on Welcome screen option. See if that cures the problem.