More info:
$ mkdir foo
$ mkdir foo/bar
$ echo "test" > foo/bar/baz.txt
$ echo "somestuff" > foo/bar/somefile.txt
$ git add foo/bar/*
$ ls -dl foo
drwxr-x--x 1 cjoan cjoan 0 Mar 1 10:46 foo
$ ls -dl foo/bar
drwxr-x--x 1 cjoan cjoan 0 Mar 1 10:46 foo/bar
$ git rm -f foo/bar/somefile.txt
rm 'foo/bar/somefile.txt'
$ ls -dl foo
drwxr-x--x 1 cjoan cjoan 0 Mar 1 10:46 foo
$ ls -dl foo/bar
drw------- 1 cjoan cjoan 0 Mar 1 10:47 foo/bar
$ git rm -f foo/bar/baz.txt
rm 'foo/bar/baz.txt'
fatal: git rm: 'foo/bar/baz.txt': Permission denied
This time I tried it with git 1.7.4.