I get this message on and off with CD drives or HDD in the Ultrabay. It is because a program is still accessing the drive.
Eg if I had previously opened a file on the Ultrabay device from within Adobe Photoshop, Photoshop sometimes does not release its hold on the device. Similarly. an indexer like Google search can latch on to the Ultrabay device to index it, and thus rendering it unejectable because... a program is accessing it!
I find this little free utility very useful - Unlocker
Download it here:
http://ccollomb.free.fr/unlocker/
Warning - use at your own risk. I use it on Windows XP without any issues but your case may be different.
No need to reboot or turn off the thinkpad. Unlock the device, and eject as per normal.