It could be a faulty USB drive that's not reading correctly. In this case, the best way to fix it is to format it. If possible, copy all information to your hard drive first.
Sometimes, Windows glitches and shows a file is still active even when it's not. Try opening a random file (or the same file) on your USB drive. Close it, wait a few seconds, and then try ejecting the drive again. Usually, this fixes the glitch.
However, some older USB drives always show they're in use, even if they're not. For these, you'll have to make sure you've saved and closed everything and use the Quick Removal method.