The message means that another application has opened the debug interface. It often happens when the device has been put into debug/program mode and wasn't properly reset (because the application crashed or was killed or something) just reset the board and restart PSOC Programmer / Creator.
I am getting the same error infact I am getting this in two of my programmers.
What can be the possible causes for it?
I am using Creator 4.0 SP1 and the CY8C3866AXI-206 is in the supported device list. Can it be you need an update?
Normalmente esto pasa cuando intentas programar tu PSoC por primera vez, solo tienes que asegurarte de tener actualizado PSoC Programer.(Puedes hacer que se actualice automaticamente dando clic en opciones, dentro de PSoC programer)
I have seen this problem. Usually after an electrical problem (High Voltage on PSOC inputs) broke the PSOC 5. The MCU was barely functional, and was seen.
Other things that caused this problem are programmer issues. (see JoBr post).
Finally, rebooting Windows and the PSOC would sometimes fix this. Windows .NET breaks upon occasion and will no longer operate correctly. A reboot of the OS (and usually also the PSOC) will fix this. The universal fix for Windows (From 95 on to Windows 10) is to reboot the OS when strange things occur.