You have to kill the actual VMWare instance.
As I am playing with the default name...
$ px ax | grep default | grep VMware
46826 ?? Ss 2:09.49 /Applications/VMware Fusion.app/Contents/Library/vmware-vmx -s vmx.noUIBuildNumberCheck=TRUE -# product=1;name=vmrun;version=1.17.0;buildnumber=7520154;licensename=VMware Fusion for Mac OS;licenseversion=10.0; -@ duplex=3;msgs=ui /Users/ruiribeiro/.vagrant/machines/default/vmware_fusion/c38ba960-54c2-4bf6-ba61-0388f47da5d9/vagrant.vmx
$ kill -9 46826
Then after killing it, finally you manage to clean/destroy it successfully:
$ vagrant destroy default
default: Are you sure you want to destroy the 'default' VM? [y/N] y
==> default: Deleting the VM...
$