I also have a Razer mouse and keyboard, both with plenty of lights. Great when gaming in the dark. But when I turn off my computer, the lights are turned off too!
I think the problem is not the mouse but the computer, which doesn't seem to switch off completely. It's likely that it's set to awaken again after you press a key or move the mouse, or something silly like that. Some computers are able to turn themselves on again if commanded to do so from an USB device, thus they leave some power on the USB port. The mouse thus receives power and thus keeps the light on. It doesn't know that your computer is off.
If you've put your computer in sleep mode instead of turning it off completely, this is expected. Otherwise, it could be a BIOS setting that will enable power to the USB devices.
(Btw, this is useful when you're recharging e.g. a TomTom or other rechargable device through your computer!)