You can use either, though I have the impression that 'against' implies that unemployment is certain, whereas 'against' suggests that it might happen.
When I think of it either sounds a bit odd. In the present economic climate, any job requires an education and any level of education doesn't guarantee a job - so you don't protect yourself either from or against unemployment just by getting an education. What you're saying may be that people go to university because the alternative is unemployment.
Student or Learner