It looks like the master project is holding a reference to the created project — looks like an odd issue. I hope you have only subprojects in the master projects – no! individual tasks created in master projects. If yes, recreate a new master project and insert the sub project again. If no, please attach the file — master and sub project – and let me check it out.
FYI. Please ensure you have the service pack installed in Office Project (do a search @ http://support.microsoft.com) — looks like bug, I can’t confirm it.