In your admin panel, go to Appearance > Menus > Manage Locations
There you make sure that none of the theme locations have a menu assigned.
Alternatively, you can modify your theme.
If you want to do that, search for calls to wp_nav_menu.
If you take theme twentyfourteen, you have 2 files: header.php and sidebar.php
in header.php the portion to update looks like
<div id="navbar" class="navbar">
<nav id="site-navigation" class="navigation main-navigation" role="navigation">
<h3 class="menu-toggle"><?php _e( 'Menu', 'twentythirteen' ); ?></h3>
<a class="screen-reader-text skip-link" href="#content" title="<?php esc_attr_e( 'Skip to content', 'twentythirteen' ); ?>"><?php _e( 'Skip to content', 'twentythirteen' ); ?></a>
<?php wp_nav_menu( array( 'theme_location' => 'primary', 'menu_class' => 'nav-menu' ) ); ?>
<?php get_search_form(); ?>
</nav><!-- #site-navigation -->
</div><!-- #navbar -->
Note: if you want to modify a theme, create a child theme as your modifications would be overwritten when you update the theme.