MacOS, Menu-Bar, Eject – How to Remove the Eject Icon from the Menu bar

If this behavior persists past a reboot, you might need to go down some general problem isolation steps:

• Isolating issues in Mac OS X

There used to be an article (it's gone or I can't find it at the moment) that walked you through setting aside the application preferences or testing this behavior in a new user. In your case - it looks like you figured it out, but I wanted to at least mention the official guide in case others have the same symptoms but a different cause.

Hold ⌘ and drag it out of the menubar. Also, in the networking system preference, you can often find a show icon in the menu bar preference. I can't recall if this checkbox is easily shown when the hardware is no longer present, but it's an alternative to dragging the icon out directly in some cases.