$args = array(
    'post_type' => 'agent',
    'posts_per_page' => -1
);

$agencies = get_posts( $args );

if( !empty($agencies) ){ ?>
    <select>
        <option value="">Please select</option>
<?php foreach( $agencies as $agency ){ ?>
        <option <?php selected( get_option('id_agency'), $agency->ID, true ); ?> value="<?php echo $agency->ID; ?>">
            <?php echo $agency->post_title; ?>
        </option>
<?php } ?>
    </select>
<?php }else{ echo 'No agencies found'; } ?>