I've added a comment to the Restrictions on promotion and demotion page of the online docs to clarify that a keyword (I have not tried it with other content types) cannot be demoted in the BluePrint if there are current or old versions of a component that reference it (in the part of the BluePrint where it will no longer be available).
The error message in the CME just gives the title and TcmId of the component that references the keyword. It would be useful if this error message was improved to indicate which versions of the component(s) were referencing the item (or at least that it was an old version).