It might happen that an exchange announces to delist a coin. You should check, if there is another exchange and transfer them there. If there is no other exchange available you might have to enter them as "[OUT] Lost" if it is compliant with your local tax regulations.

You can record the coins as lost using the manual entry on the "Enter Coins" page. Click New button and select "[OUT] Lost" as the Transaction type. After that please enter the amount and currency of the coin.
The LOST transactions are listed in the "Lost and Stolen Report" as part of your tax report.