Problem is solved.
Just need to add 'hide_empty' => false,
to the array.
Like this :
wp_dropdown_categories(
array (
'orderby' => 'name',
// ID of the already selected category:
'selected' => 4,
'hide_empty' => false,
// If no category is selected:
'show_option_none' => 'Choose one'
)
);