Isn't there a "None of the Above"?
That question is primarily for it's treatment of the distribution for state taxes Some states may fully exempt certain Federal/military or state Govt pension $$....and will apply tax to most everything else. As long as you indicate that it was moved to another retirement account in one of the other the followup questions pages, then even the state won't tax it. Be careful to NOT indicate it went into a "Roth" account (unless you did do that).
____________*Answers are correct to the best of my knowledge when posted, but should not be considered to be legal or official tax advice.*