If you try to answer a protected question without having the required reputation you get the following message:
The link in the words "unanswered questions" takes you to the site's list of unanswered questions. Questions can't be protected if they have not received any answers, so theoretically this list wouldn't contain any protected questions.
However, the definition of "answered" for the purpose of protecting a question, and the definition of "answered" for the purpose of appearing in the list of unanswered questions are not the same. For the former, a question is considered answered as long as it has any answer, regardless of score. For the latter, though, a question is only considered answered if it has an answer with a positive score.
Thus, any question that has an answers but they don't have positive scores can be both "unanswered" and protected. Therefore, when someone tries to answer a protected question and gets redirected to the list of unanswered questions, there can still be protected questions on that list, and the user will of course be unable to answer them. In fact, the very question that the user came from could show up on the list.
This can be both confusing and annoying to the user who gets redirected from a protected question to a list of questions he/she is supposed to be able to answer, only to find more questions there that he/she can't answer, and perhaps even the very question he/she was sent away from.
In case it seems like this would never actually happen, here is an example of a question (thanks to Jenayah for finding it) that is protected, has an answer with a negative score, and appears in the list that users are redirected to:
Was there any grander purpose to the first victim in Cube?
This is the link you get directed to:
And if you scroll through it you will eventually find the very question you came from:
Can we prevent protected questions from showing up in this list?