Heater continues after key out of ignition

I have a '96 Windstar GL. The other day I stopped the van, pulled the key and the heater kept pumping air. This happened a few more times. Then of course the battery dies. Now I have a new battery and alternator, as well as having my remote start pulled because the mechanic thought this was the isuue and guess what, it's still pumping air after I pull the key. Any ideas?