Safe remove

I guess that you have no other choice than plugging out your device without a safe remove, if you are sure that there is no process involving your disk on key.

 I would backup all the data that is on the disk on key to the computer.  

I've had this problem a couple of times when saving an Excel file directly to flash.  I suggest you shut down the computer then remove the drive.  This way the operating system will force close all running tasks and finish all pending reads/writes before cutting power to the drive.  My preferences:

1.  Safe remove.

2.  Graceful shutdown of operating system.

3.  Yank the plug.

That's what's worked for me, as always YMMV. 

This is not a huge deal, and doesn't require drastic measures such as system shutdowns and the like. It just means that some element of the OS has yet to "let go" of the device [your USB flash drive]. If you really need to unplug your USB drive immediately for any reason, and "safe removal" informs that the device can't be stopped, even though all apps and such are closed; then simply log off your Windows session -- not overly inconvenient, as your apps are already closed -- and then log right back on. Your USB drive should be released at this point, and safe removal should function normally. In a worst case scenario, you would simply restart your computer to release your device....