I have three materials that I do not need anymore. So I check references with Reference Viewer. There I see that the materials are not referenced anymore by any object, so I delete them. Also the textures used in the materials, although the textures are referenced by my map (I have only one map in my project). Anyway I delete the textures in UE4, use Force Delete. And in Windows Explorer delete also the jpg source files of the textures.
Then I reopen the project and one error appears in log for each deleted texture:
Failed import: Texture2D (content path to texture) in (content path to map)
No idea what to do with this error.