Well, the error message basically shows you the problem. The route you´re trying to close is the only route that brings that plane from London to Frankfurt, and you´d get the following problem:
You have the following flights on the airplane:
XXX - LHR
LHR - FRA
FRA - XXX
If you were to delete the LHR-FRA-route, the plane would have to magically transport itself from LHR to FRA to fly the other two routes, which it obviously can't do. To close the LHR-FRA route, you'd have to close other routes so the plane doesn't have to magically transport itself.