- Navigate to Setup | Customize | Contacts | Fields
- Look for the picklist and click it
- Click Edit link for the field need to be set as default
- Select "Make this value the default for the master picklist", if any other value selected as default prior, it will be auto deselect.
- Click Save button
Finally, we found there is Record Type for that object, those User Profile only have access to one of the Record Type, that's why when user create new Contact, it do not prompt them to select a record type.
Click Edit link
If the Object has Record Type, Salesforce will use default value defined in Record Type, not default value selected in the object level.