Are you sure it's not a target for a quest you have flagged and have forgotten about? Otherwise it's probably just a placeholder target for possible future use in a quest or event that SE was meant to have dummied out but has glitched and is thus targetable. If that is the case, just ignore it as it's not really important.

I remember that sort of thing used to happen (and still does) in FFXI all the time, finding a sudden target that had nothing in it's message box and did nothing upon clicking it.