When I shutdown the computer, I need to disconnect all USB devices(mouse, flash drives, USB hub) because their lights are bright and it's hard to sleep or I can just power off computer by PSU PWR button. My motherboard is Gigabyte GA-945PL-S3. Maybe there something in BIOS that I can change(because it's very annoying)?
Your motherboard presumably keeps standby power on them (probably it supports "Wake on USB" functionality). There may be a BIOS option, as I'm not familiar with this exact board, but such an option is exceedingly rare on non-laptops (EDIT: by which I mean, even if you disable Wake on USB, the board will still power the devices).
As a workaround to unplugging your devices, you could simply flip the master switch on the power supply to the 'off' position. (Anything that has an external power source may stay lit of its own accord, though).