Files on desktop un-deleteable, say "No Items selected" when previewed
The same thing has happened to me with canceled download files from Safari and temporary files created by ImageMagick. The files are only shown on the window of the desktop and not when opening ~/Desktop/ in a separate window. They have always disappeared after reopening Finder or logging out and back in.

I can't reproduce it right now, but I'll check if there's anything interesting in the logs the next time that happens. tell application "Finder" to update folder of desktop might be worth a shot as well.

A related question at Super User: OS X: The item XYZ.txt~ can’t be moved to the Trash because it can’t be deleted