Hmm...
Grimm, read the question. It's not "How to drop a weapon?", it's "How do you select a weapon with no ammo?" I can't do it either, it just spouts "Weapon so-and-so has no ammo" and I keep the one I'm using. I know I have both auto-reload and auto-switch disabled, so that can't be it...
I guess you could cycle through everything and throw it away, and then pickup the one you WANT to use, but that's more time consuming...which is dangerous.
[L]-Damodred