I'm wondering if those directories (folders) are really "empty". What message do you receive from CoreFTP when you try to delete them?
If CoreFTP is not configured to display "hidden" files, you will not see the .htaccess files that WordPress uses, and the directories will appear to be empty when they really are not. (for examples of how this is done in other FTP programs, look here).
The only other thing I can think of is if you somehow how permission set in such a way that you cannot delete the files/directories, but I suspect that is unlikely.
At any rate, the error messages you receive from your FTP client should indicate the source of the problem.