Delete Shaded Gray Box With Axis

I am not sure what I did, but I have this gray box on the face of my building with a green, red and blue axis. It happened when I was trying to change the 3D text.

Looks Like this

The ‘3D Text’ tool creates components
3D text placed (created!) on a face will be a component glued to that face.
What you see is a component in editing context (opened for editing) with the property to glue to the face. In editing context SketchUp indicates the gluing plane as a grey plane and the blue axis as a cross in that plane. Red and green are always in the gluing plane, blue perpendicular to it.
You may have erased most of the geometry in the component but kept some. So the component can still exist with hardly any geometry visible.
(Once a component is empty it can’t exist anymore.)

Thanks. So how do I find the component that is still there so I can delete it?

See menu Window > (open the) Outliner, to see what groups and components are currently in your model.
You can right click on a component in your model (it also will show in the ‘Outliner’) and select ‘Delete’ in the right click context menu.