Make sure you don't have dependencies like database snapshots on the db you want to remove. Though, the error message would look otherwise.
Are you sure that there is no hidden process that is connecting to your database? A good approach would be to run a script which kills all sessions and immediately after rename the database to another name and then drop database.
create a cursor based on this select:
select d.name , convert (smallint, req_spid) As spid
from master.dbo.syslockinfo l, master.dbo.spt_values v, master.dbo.spt_values x, master.dbo.spt_values u, master.dbo.sysdatabases d
where l.rsc_type = v.number and v.type = 'LR' and l.req_status = x.number and x.type = 'LS' and l.req_mode + 1 = u.number
and u.type = 'L' and l.rsc_dbid = d.dbid
and rsc_dbid = (select top 1 dbid from master..sysdatabases where name like 'my_db')
issue inside cursor:
SET @kill_process = 'KILL ' + @spid
EXEC master.dbo.sp_executesql @kill_process
PRINT 'killed spid : '+ @spid
after the cursor is closed and deallocated:
sp_dboption 'my_db', 'single user', 'TRUE'
sp_renamedb 'my_db', 'my_db_old'
DROP DATABASE MY_DB_OLD