You probably have your car's battery running. The radio will play off of the battery if you don't turn it to the point at which it becomes necessary to pull the key out.
If your radio fails to terminate even when you manually turn it off, then you might have a problem. Check the user's manual for your car, and find the fuse that deals with the radio.
Pulling the fuse will stop any electric current from getting the radio to work, so unless it's possessed by demons or something, no normal radio will play under those circumstances.
