DWElwell,
I'm with you.
I cannot delete a bluetooth device (one which I no longer have) from my Bluetooth list, and see the exact same behavior as you describe: When I click the "X", it instead tries to connect (which obviously it can't). I have tried to delete the Bluetooth pref file (com.apple.bluetooth.plist) from my home folder library, but it does not exist there. I did, however, find (and attempt to delete) the file com.apple.Bluetooth.DF3B7E4D-(and a whole bunch more letters).plist in the ByHost folder in Preferences, but no amount of deleting, restarting, whatever will prevent that same instance of the same prefs file reappearing upon restart, somehow still retaining the same exact list of Bluetooth devices that I was facing before - despite Bluetooth being shut off, pref files trashed, and machine restarted.
So something is clearly wrong here, for me and for others*
* Something that, like nearly all issues asked hear, requires insight far beyond the Grandma-with-a-new-iMac-what's-this-Bluetooth-thing level support document that was proffered above. (Nothing wrong with starting from the beginning when looking to solve a problem, but nobody should anticipate that he's actually going to solve too many problems just pasting in links from the knowledge base and documentation. These boards are hilariously cluttered with countless instances of frequent posters wading into discussions and thinking they're helping by just pasting in known information, when the likelihood that someone who creates an account on this site to ask a question, who knows how to search, and who knows how to read hasn't already found or know that information is rather small. It's like you get points or something. Anyways... and this is buried in a topic that no one will read but I'm just addressing this instance, a) original posters, save everyone some time and state either "I have no idea what I'm doing with this product", or "I fully know what I'm doing, I understand how to fix problems, and I'm still having a problem, and b) Level Collectors, if you, yourself, are not seeing this issue, don't make make your first assumption that someone posting about a problem just needs help searching the Apple support site. They're almost certainly posting here because they're seeing their machine behave in ways decidedly different than what is expected.