Like @muru stated in his comment you have files for all sessions in your
/usr/share/xsession directory. Just renaming them sadly does not suffice to make them go away (at least in my case) so remove them or move them somewhere else in case you want to keep them. The directory should be similar to this here just with your choice of what you want to keep (example below taken from my machine).
ls -lah /usr/share/xsessions/
drwxr-xr-x 2 root root 4,0K Okt 23 18:11 ./
drwxr-xr-x 347 root root 12K Okt 22 23:46 ../
lrwxrwxrwx 1 root root 18 Okt 13 13:33 gnome.desktop -> gnome-xorg.desktop
-rw-r--r-- 1 root root 201 Okt 13 13:33 gnome-xorg.desktop
The symlink in there is your actual choice of desktop environment so only remove the other files and keep the file the symlink is pointing to intact.
if you dont want to remove the files you can as well simply remove all permissions from the files in question (as stated by @PJSingh) by:
# Example line! Change filename accordingly!
sudo chmod a-rwx ubuntu-xorg.desktop
After that you not even see the cogwheel symbol anymore when you log in.