I am also facing exactly same issue. I had added a folder to sidebar as a quick jump shortcut, and now when I am done with that project it doesn't allow me to remove it from sidebar. I tried dragging, can see puff icon appearing but nothing else happens. Then I did the right-click way, but no result.
There were total 3 such folders which I had added and to my surprise, its just 1 folder which is refusing to be removed from Sidebar. Other 2 were removed in first attempt itself (Dragging outside the finder window way).
I tried restart too, but no luck. I am not able to find "Maintenance/Rebuilding" anywhere as @Mavent mentioned in another reply. Any clue?