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Open-Set Domain Adaptation (OSDA) assumes that a target domain contains unknown classes, which are not discovered in a source domain. Existing domain adversarial learning methods are not suitable for OSDA because distribution matching with $\textit{unknown}$ classes leads to negative transfer. Previous OSDA methods have focused on matching the source and the target distribution by only utilizing $\textit{known}$ classes. However, this $\textit{known}$-only matching may fail to learn the target-$\textit{unknown}$ feature space. Therefore, we propose Unknown-Aware Domain Adversarial Learning (UADAL), which $\textit{aligns}$ the source and the target-$\textit{known}$ distribution while simultaneously $\textit{segregating}$ the target-$\textit{unknown}$ distribution in the feature alignment procedure. We provide theoretical analyses on the optimized state of the proposed $\textit{unknown-aware}$ feature alignment, so we can guarantee both $\textit{alignment}$ and $\textit{segregation}$ theoretically. Empirically, we evaluate UADAL on the benchmark datasets, which shows that UADAL outperforms other methods with better feature alignments by reporting state-of-the-art performances.