You're right Sir, it should fade. Suggestions: Leave the current cell, fast-travel to a different location, or reload a previous save. All should affect the state of your game character and should fix the problem.
You can also check your inventory. Check weapons. Is there an arrow in their that doesn't belong to your arsenal? Remove it.
Try unequipping all armor and weapons (including arrows) and then re-equipping them. This has always worked for me.
i have tried reloading a previous save & fast travelling to a different location and stripping down everything & re-equipping everything but it doesnt work.
Out of interest - is it stuck somewhere cool? (Chest?)
Or dumb/painful? (Face?)
The previous save has to work. The arrow would not be in that save file.
That is... IF you in fact reloaded a save that was prior to the arrow being shot.
Yea... that's not a good practice. There are potentially detrimental side effects that can corrupt your save, from doing that.