Can't release guides in illustrator CC (2015)
AI creates guides as layers. Simply go to your layers palette and delete them by dragging them to the trash can icon on the bottom right of the layers palette.
I always create a separate group specifically for my guides and I'll usually lock it just to be safe.
Your guide is probably in a layer or sub-layer that you have locked.
Layers palette (
Window > Layers or f7) and twirl open (click the triangle) all parts you have locked. There's bound to be some
<Guide>s there, one of them your little cyan offender. Unlock it, select it with the
move tool (or you could just 'meatball' it in the
Layers palette) and hit Backspace.