Could be a lot of possible reasons, here are my guesses:
1. It could depend on your mouse, I've had mice that even while completely still on a table send a very minor cursor movement signal back to the PC. Try unplugging the mouse to see if that's the cause.
2. There are applications that actively prevent windows from turning the screen off, full screen video is the obvious one, there may be something else you have running, check your background applications.
3. If you have a joystick/gamepad/any controller in general make sure to disable it or unplug it before turning off the PC. Not sure how come but it usually fixes the problem.
Remember, if this solved your problem mark it as the solution so people don't answer this thread once the solution has become apparent