Sprint report will show all old sprints in the drop down, and currently the solution is to bulk edit all issues in that sprint to remove them, however if issues had been in previous sprints for planning purposes, those will still show up in the sprint report list.

To confirm, you can use JQL to search Sprint in (Sprint X), which will return 0 issues, but on the Sprint Report, Sprint X still shows up in the drop down. Clicking the link to show the issues in that sprint will return all issues that were ever associated with that sprint.