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Hmmm it sounds like you have your remote wired incorrectly. Im guessing its wired straight to the battery, which is why it doesnt turn off. Im currently going through the same thing with my amplifier. Ive never been too good with wiring. Im thinking about just taking it into a shop if I cant get it figured out. I reccommend taking your stereo out and checking the remote and power wire if you know how to do that. Ive been charging my battery every other day because my amp runs my battery dead.. Its such a hassle. I started disconnecting my amp everytime i leave my car, i doubt you would want to do that with your stereo though lol

What brand of radio is it?
If it's hooked up correctly, it shouldn't do that.

Another possibility, could be something going on with the ignition switch in the car. I know the old in the Camaro, use to allow me to remove the key while it was in the accessory position. So everything stayed on.

Might want to check the switch to make sure it's not somehow still giving power to things when it's supposed to be off.

The title might be a bit confusing but I'll explain. The other day, my step-brother looked through the windows at night and told me I left my radio on. I was worried as it usually disconnects when I disconnect the ignition of the car and remove the key, so I didn't know what he was on about or even if he was serious. He was, the radio was half on, battery ran out after a while, though the radio lights were still on and they wouldn't turn off. I then removed and reconnected all fusible from the box and it ended up going normal. Push-started the car and it never happened again, but I'm worried the radio might be causing damage to the electrical system, or the other way around. Any similar problems you ever had?