I have. This occurs only with certain boards and power supplies. Mine has a green light that stays on when the ps is plugged in. Try a different one if it bothers you. You can also disconnect the power supply plug or place your overload protector on top of a table and shut off everything with the trip switch. But then your motherboard battery may run down faster.
Thanks, Oldie. I have gone so far as to remove the power cable and the fans still run. I'm not a hardware expert, but this leads me to think it is either a capacitor, probably in the power supply, or the battery on the motherboard that is supplying the power to the fans. Either way, I think this indicates a short somewhere, and such a short may cause a complete failure of the motherboard at some point. If my thinking is correct here, I need to replace either the power supply or the MB, but I don't know which is most likely at fault.