Those are actually the arms of your first person view. With the inventory being cleared, they have nothing to do so they just float there. On page two of the following thread I put up a tutorial for custom game types with custom footsteps as well. The pawn for that doesn't show the arms and you can add new footstep sounds without editing UT code.
If you simply just want to get rid of the arms and NOT add your own custom footsteps later on down the line, this is the easiest solution to your problem:
First, make sure UDK is closed and go to your UDK folder and navigate to Development --> Src---> UTGame --> Classes. Now make a copy of the first file and change the name of that file to "BlankWeapon.uc". Open it up in notepad, delete everything from it, and paste this in:
and save it.
class BlankWeapon extends Weapon;
Now open up UDK and pick yes to rebuild your scripts. Open your map and in Kismet make a player Spawned event node, right click again and go to New Action-->Pawn--> Give Inventory and connect the out of the player spawned to this. Place a player variable node as the target. Click on the Give Inventory node, and turn on "Clear Existing" in its properties and lastly, click the green plus sign on the right of "Inventory List" and pick "BlankWeapon". Now when you spawn the arms should be gone because you have a "weapon" that's really just nothing.
You can use "none" in the inventory list as well, but you'll get annoying kismet warnings. This method is cleaner and gives you a universal blank weapon that you can use in any project.