Thank you for your reply in time.

I have executed the script, and the result tells all indexes only on the PRIMARY filegroup. This may mean the other filegroups are empty.

In fact, I think if there are objects on the filegroup planned to remove, maybe I cann't remove the datafiles belong to it.

But I still cann't remove it and receive;):

Msg 5042, Level 16, State 12, Line 1

The filegroup 'fg3' cannot be removed because it is not empty.