It's a seed pod - probably best not to try making green tomato chutney with it.
It will split open eventually and shed its seed.
For best flowering, though, it is best to remove seed pods - actually best done as soon as the flowers start going over, since by the time the petals actually fall off, the pod may already be well advanced. Cut the flower stems low down - near to where they join the main stem - otherwise the plants will will look untidy, especially when the flower stems turn yellow and die off; they can also allow pathogenic fungi easier entry if left long.