You can delete a contact list in the following way:

1. Click the CRM button of the left sidebar.

2.  Below the FILTERS find your LISTS.

3. Click the colored bubble next to the list's name.

4. Choose the Edit List option.

5. Click the Delete icon.

6. Click the DELETE ANYWAY button.

Note: The list will be deleted, but the contacts will continue in the CRM.

Check this article if you want to create or edit a contact list.