When creating a class, if you are finding that your venues are not showing up as an option, you will need to check a couple of details. 

First of all, has the venue been created?
For this, go to 'Settings' > 'Venues' > 'Create': 

Enter the information of your venue:

After this, don't forget to save your progress!

Treat the venue as the building! The system will always need what rooms exist within this venue. Make sure you click on the 'Rooms' tab and have created your rooms here:

After this, these rooms will always appear in your drop-down menu when you create a class.