Trying to delete an application that always says it is open (in this case AVG AntiVirus.app)
You need to properly uninstall AVG AntiVirus for Mac first.

See: How to uninstall AVG AntiVirus for Mac


  To uninstall AVG Antivirus for Mac:
  
  
  Run the AVG AntiVirus for Mac
  Click the AVG AntiVirus Menu bar, and click Uninstall AVG AntiVirus
  Click Continue to begin the uninstallation process
  AVG will run the uninstallation
  The Uninstallation is now complete, please click Restart to reboot your computer