Probably because has been created with web server permissions and your ftp user is different.
Change folder’s permissions to allow your ftp user to delete it or contact your provider.
It is still there after deactivating the plug-in because if an user wants to deactivate it and reactivate it want still to see the data.
You seriously tell me I should contact my provider to delete a folder, which your plugin has created?
In the meantime I deleted it through the web-ftp-software, offered by my provider, since I couldn’t change the folders permissions.
Maybe you should consider adding an option to remove all files and folders created by your plugin. For something like an clean uninstall.