JavaFX 2.0 how to select files aka FileChooser

Iterator.remove() is safe, you can use it like this:

List<String> list = new ArrayList<>();

// This is a clever way to create the iterator and call iterator.hasNext() like
// you would do in a while-loop. It would be the same as doing:
//     Iterator<String> iterator = list.iterator();
//     while (iterator.hasNext()) {
for (Iterator<String> iterator = list.iterator(); iterator.hasNext();) {
    String string = iterator.next();
    if (string.isEmpty()) {
        // Remove the current element from the iterator and the list.
        iterator.remove();
    }
}

Note that Iterator.remove() is the only safe way to modify a collection during iteration; the behavior is unspecified if the underlying collection is modified in any other way while the iteration is in progress.

Source: docs.oracle > The Collection Interface

And similarly, if you have a ListIterator and want to add items, you can use ListIterator#add, for the same reason you can use Iterator#remove — it's designed to allow it.

In your case you tried to remove from a list, but the same restriction applies if trying to put into a Map while iterating its content.

Like other answerers, I'd definitely prefer to put the loops in a different method, at which point you can just return to stop iterating completely. This answer just shows how the requirements in the question can be met.

You can use break with a label for the outer loop. For example:

public class Test {
    public static void main(String[] args) {
        outerloop:
        for (int i=0; i < 5; i++) {
            for (int j=0; j < 5; j++) {
                if (i * j > 6) {
                    System.out.println("Breaking");
                    break outerloop;
                }
                System.out.println(i + " " + j);
            }
        }
        System.out.println("Done");
    }
}

This prints:

0 0
0 1
0 2
0 3
0 4
1 0
1 1
1 2
1 3
1 4
2 0
2 1
2 2
2 3
Breaking
Done