This is called "Probe Request" and it is a special frame sent by a client station requesting information from either a specific access point, specified by SSID, or all access points in the area, specified with the broadcast SSID.
You can read more information about this here.
How/where does it get this list of networks the computer has connected
It's a list with all known networks your device has successfully connected and marked as "Auto-Connect" by your system.
is this a problem security wise?
Yes, because an attacker could reply to the probe request with a fake AP, created only to sniff your data. It's possible to perform this with a lot of tools, even with your own OS, creating a hotspot with the same name as the network your computer is probing.
I recommend you reading this and taking a look at WifiPhiser.
And no, you cannot disable this, because it's essential to inter-AP roaming.