Why is there a blinking...

...foreign unit in my country?

When I click it, it says it belongs to my neighbour, but it's over the border and is blinking. I'm not at war.

It is trying to move but cannot move, in this situation it is because of a border restriction. It can't enter because you are not at war with him, or opened your borders to him. The same thing will happen if you try to cross through an enemy military unit. Blinking represents a stuck unit.