The other answers touch on why/why not, but there are other options available to you. The appropriate control may depend on how many options there will be and how they are generated.
Use a radio instead
If your options are going to be a fairly short list (1~5), radios will be clear to users who only have one option available and users who have many options available without having to make any modifications to the form. Just loop through the options and you're done.
As far as form processing goes (at least from a web perspective), radio and select are completely interchangeable.
Disable the select
A disabled form element clearly establishes to the user that there are no additional options available to them. As long as the user is able to easily discern the difference between enabled and disabled elements, this should work reasonably well.
Be aware that when processing web forms, disabled form elements are not submitted (ie. you won't find them in your GET/POST request variables).