echo '<option value="'.$value.'">'.$value.'</option>';
or
echo "<option value=\"{$value}\">{$value}</option>";
You never closed the opening option tag. If you view your source you'll see it's wonky.
BTW, You don't need the value=""
part if you're using the same value in the text of the option.
echo "<option>{$value}</option>";
Entire code as I would do it
$result = mysqli_query($cons,"SELECT user_id, user_name FROM users");
while($row = mysqli_fetch_assoc($result)){
echo "<option value=\"{$row['user_id']}\">{$row['user_name']}</option>";
}