Usually, they are 'ghost files.' You can't delete such files because they are not there in the first place. These could be music, documents, or a folder. It is thus a security measure for the program with regards to copyright restrictions.
You might have wanted to delete the data accidentally. It prevents the disruption of your ongoing work. The file or folder is in use and can't be deleted: Mostly happens when a file, e.g., a word document is opened and is in use.
When deleted, their absence can cause your Mac OS to 'break.' It might not even be able to boot up.
