If it is already a component or group first you have to:
Explode it, OR
Double click the item to edit it
THEN you can draw the circle to push/pull it. If you just erase the circle all you do is have a hole in the face of the item. If you want it so that there is a face on the inside of the item then you need to push/pull it.
Have a look at the demo model.
circle-demo.skp