You don't have this option when you click on the photo?
You can only delete photos that you've uploaded to Facebook. Keep in mind that once a photo is deleted, you won't be able to get it back.
To remove your photo from Facebook:
Go to the photo you'd like to delete.
Click the photo to open it.
Click and select Delete Photo.
Click Delete to confirm
Note: If you want someone else's photo removed from Facebook, ask the person who posted it to take it down. You can also remove a tag from a photo you're tagged in.