It would be nice to see the equation and the material you're looking at (delta x is called dx?), but if you're talking about the derivative definition that MarkFL posted above (limit of a difference quotient) then we let delta x approach zero because we want an instantaneous rate of change and that exists only in the limit.... why in the differentiate we are pointing delta x to be zero ... dx--->0 in the equation of dy/dx?
dx never equals zero. (You're not allowed to divide by zero.)... if dx=0 then dy/dx is infinity ...