Odoo protects you from yourself by not allowing you to delete them (due to linked sales etc.)

If you are certain you want to remove them, you can do the following: 

1. Activate developer mode (documentation here)
2. On the top right, a debug button will be visible now. Click on it, followed by "Become superuser"
   You will notice your user changes to OdooBot. 
3. You can now delete the session.
4. Log out and log back in to get back to your normal user.

With great power comes great responsibility. Use the superuser with caution