Hey, I'm also encounter this undeletable file on my Mac too. My case was my bootcamp installed a software that enable windows to write HFS+ volumes (Paragon HFS). And whenever windows open a folder with images, it will create a Thumbs.db file. And fore some reason it became a file called "Thumbs.db:encryptable" in windows. And while boot into mac it will become "Thumbs.db/encryptable". Both of it are un removable from mac even in windows.
So my solution is boot into my current installed Bootcamp (windows 8), and you must have a software that enable explorer to write on HFS+ Partition like Paragon HFS or Macdrive.
1) Disable windows explorer to cache thumbs into thumbs.db.
2) Search out all the Thumbs.db:encryptable
3) Rename the " : " into a space.
4) Delete it.
Though this thread might be already many years old, I think its still a worth mention about my solution here. I wasn't able to remove it through Terminal. Hope this helps anyone.