For Mac OS X :
If you work on a Mac OS X device, go to Activity Monitor App and look for adb process that is running and terminate the process (if not then do a force close). Once done try deleting the AVD from AVD Manager.
For Mac Windows :
Do a Ctrl+Alt+Del to open up task manager and look for avd process that is being running and close it. Once done try deleting the AVD from AVD Manager.