That's on an msys setup targeting x86_64-w64-mingw32.
$ strip --version
GNU strip (GNU Binutils) 2.25
Copyright (C) 2014 Free Software Foundation, Inc.
This program is free software; you may redistribute it under the terms of
the GNU General Public License version 3 or (at your option) any later version.
This program has absolutely no warranty.
$ strip --strip-unneeded foo.dll
strip.exe: unable to rename 'foo.dll'; reason: File exists
This works for binutils-2.24!