Notifications go away when you interact with the cause of the notification, either by clicking the notification or navigating manually to the cause […]
I don’t think there is any way to clear the list. Viewing a thread or clicking “Dismiss All” will get rid of the unread count above your user icon (number inside a blue circle, e.g.: ) and the light blue highlighting of each unread row in the activity list.
Ah, I expected the items in the small popup list to be removed, like the Discourse founder had implemented on StackOverflow. I have told the Discourse people now.