I had the same problem with the blue (on while fabric, of course) and will never use the chalk again. While it brushes right off of the fabric before quilting, I find that the thread locks it underneath.
I first soaked and washed in plain cold water, then used a paste made up of oxy-clean spray & powder and gently massaged with a toothbrush to get underneath the stitches and let it sit for several hours. After about 4-5 treatments (and washings) like this, it finally came clean. Do not dry in the dryer between washings, just air dry. Not easy in an RV and quite nerve wracking to say the least as we were on our way to Michigan to deliver the quilt to my best friend of 30+ years. Best of luck!