The path from your comment looks like the file is on a removable SD card. You need special permissions on Android 4.4+ to manage or delete files on an SD card. You will need to use DocumentFile#delete().
For help accessing files on a removable SD card using DocumentFile see the following StackOverflow post:
How to use the new SD card access API presented for Android 5.0 (Lollipop)?
There is also a hack that might work without using DocumentFile as explained by the developer of FX file manager here: http://forum.xda-developers.com/showpost.php?p=52151865