Just drag it off the Dock and let go. It will be gone. It's something you added to the Dock, then later deleted or moved to a different location. Remember, Dock icons are just aliases (shortcuts) pointing to actual files/folders/apps. You can delete the target, but the alias will remain until you delete it.
OK I removed it but could not find the Alias in finder. The folder had three shortcuts in it. I had to Google them and add them back on to the Dock in another folder.
I get this mainly for USB thumb Drives etc, it's normal it's just looking for what was once there. I quite like it as it tells me straight away if one of my USB Drives is hiding around the back of Mac!