Cities and Knights: Lose to a barbarian attack, but no settlements.
You turn your city marker, and treat it as if it were a settlement. From the Catan FAQ:


  FAQ - Frequently Asked Questions Barbarians III: Players are Defeated
  - What happens if I have to downgrade a city to a settlement but don’t have another settlement in stock?
  
  Answer Turn one of your cities on its side and treat it as a
  settlement until you have upgraded it to a city again.