$args = array(
    'role'    => 'agent',
    'orderby' => 'user_nicename',
    'order'   => 'ASC'
);

$agent_users = get_users($args);

<option value="0">Select Agent</option>

foreach ($agent_users as $user){
      $user_info = get_userdata($user->ID);
      $username = $user_info->user_login;  // this gives perfect data, checked using print_r
      $first_name = $user_info->first_name;
      $last_name = $user_info->last_name;
      $name = $first_name . ' ' . $last_name;

        // here i am stucked, if first name and last name is not set, then use user login in $agent_filter_name var.
        if (!empty($name)) {
            $agent_filter_name = $name;
        } else {
            $agent_filter_name = $username;
        }

        <option value=<?php echo $user->user_email; ?>>
            <?php echo $agent_filter_name; ?>
        </option>

        // this will output like this
        1) abc
        2) xyz
        3) .... (blank while first name or last name is empty, here we want user name)
        4) pqr
    }
}