Sometimes the Drupal menu will have a bug where the create content link will appear even for users that aren't logged in. Here is a screenshot of the problem:

Fixing the problem should just involve going to your menu settings page (http://example.com/admin/build/menu) and clicking on the reset link next to the create content link as shown in the image below:

That will reset that menu item and the create content link should then be invisible to anonymous users.