If you delete a virtual datacenter, the firewalls will be deleted in the cloud provider or network virtualization system but they will still be present in the platform.
To delete a firewall from the platform:
Go to myCloud → Locations (map pin button) → Network → Firewalls
Select a cloud location
Firewalls that are colored light gray exist in the platform only, not the provider
Select a firewall
Click the trash delete button