"At will" usually refers to the right of an employer to terminate an employee. Even when your employment is "at will," termination (as opposed to quitting) will usually result in being qualified for UI benefits, unless you were terminated for misconduct or some kind. You might not have any cause of action against your employer for letting you go, but you would still be eligible for UI benefits.
Again, laws vary from state to state, but I believe this is pretty standard.