It's due to an error, failed download, failed sync... I had it happen with a movie once. I had the clear the /Media/Purchased/ folder in order to get it to disappear. Beware though, it removes all your media purchases so make sure you've got them transferred to your computer first, and you'll have to sync them back (or re-download from the cloud) afterwards.
If it's not a purchased item, google "ghost tracks" +iTunes.