The question is referring to whether you are on a F, J, M or Q visa and will leave the US after as of the end of the tax year your program ends.
Based on your visa type, the answer to this question would be pre-selected to 'Yes' in most cases since your visa program is temporary and it is supposed that after you graduate/finish your studies in the US, you'd go back to your home country.
Please note that this does not prevent you from extending your program or applying for another program in the future. This information is required as of the end of the tax year solely for tax purposes.