As suggested by @yyyyahir, I filed an issue here: https://issuetracker.google.com/issues/162802477 which gave me two options. The second one is the one working for me. First, issue the command gcloud alpha resource-manager liens list --project project_ID. Note it is project_ID, not the project name. For example: not sany-agent but sany-agent-koajku. Then you should see something like below:
NAME ORIGIN REASON
p8849062...0d88f4e77c You cannot delete ... a Dialogflow agent. Please follow the link to Dialogflow and delete the agent: https://console.dialogflow.com/api-client/#/agent/63e6667c-...-cbfa0e8cd4d7/ Deletion blocked by Dialogflow.
Issue the command gcloud alpha resource-manager liens delete p8849062...0d88f4e77c which should result something like this:
Deleted [liens/p88490624627...50d88f4e77c].
NOTE: I shorten the UUID.
After that, go ahead and shut down the project. You should able to do that as the lien have been removed.