I deleted my Downloads folder, why can't I remove the items pinned to my sidebar? I moved my download folder on to an external hard drive and then deleted the folder on my Mac. 

I clearly had folders I had pinned to the side bar with a root folder in the download folder I deleted.

As a result, when I click on one of those items in the sidebar, it does not respond. 

All I am able to do is ctrl click which gives me the option to open sidebar preferences.

How can I unpin these from my sidebar?
Hold command and click and drag the alias out if the side to remove, I believe.