My guess is that either your relay is bad and the contacts are sticking, or your switch is bad and it doesn't open.
First - inspect the relay. Relays have a small schematic on them, so using that diagram check if the relay is normally open or normally closed. You can figure this out by looking at the contacts on the schematic. If the contacts are open on the schematic, the relay is normally open and if they are closed the relay is normally closed. Also the schematic will tell you which pins to test on the relay. Now use a multimeter to test resistance across the relay contacts, if the relay is normally open the reading should be 'infinite'. If the relay is normally closed the reading should be around 0.1 ohms. If your readings are different - replace the relay.
if thats not your problem than,
Second - unplug your horn switch at the steering wheel and check that its not sticking. Do this by attaching a multimeter to the switch and set it to resistance. With the horn in the off position your reading should be 'infinite' and with it on the on position it should be around 0.1 ohms. This would indicate a bad switch, or something pressing on the switch.