Registered users and guests can comment: All users can comment on your work whether they are logged in or not.
Only registered users can comment: This is the default option. With this enabled, only logged in users will be able to comment on your work.
No one can comment: This will disable all new comments on your work.

Changing these settings will not affect any existing comments. If there are comments on the work that you would like to remove, check out Can I edit or delete a comment someone else left on one of my works? to learn how.