That a new one on me. I've seen just about every other electrical component on cars malfunction and draw power with the key off, rear defrosters, voltage regulators, cooling fans, fuel injection (that one was cool...it would fill the cylinders and crankcase with fuel), etc, but not a blower motor.
I wonder where it's getting power feed from? It should be isolated from ignition feed with the key off. Is it getting feedback from another circuit?
Do you hear a relay click when it turns off? Maybe there's one that's sticking and holding the power to the blower on after the key is shut off.
In fact, that seems most likely to me. I'm gonna go with that. I suppose the relay control side could be ignition switched, but the actual feed side might be unswitched, and so if the relay doesn't switch when the key is turned off, the blower just keeps getting power.
That's my story, and I'm stickin' to it. (till I think of something better)