THIS.When you shut down and remove the key, make sure you are NOT in the PARK position. This happened to me on other bikes.
Thank you. This was most helpful.I would be very surprised if there is a wire going to the back of the bike that is always hot (even when the key is removed). The only place power is required when the bike is parked is to the instruments (to keep the clock running, etc.).
So, the obvious places to check would be:
1) As Barrie said, you have put the ignition in "PARK" which will keep the tail light on.
2) You have a problem in the ignition switch that it is not cutting power when you remove the key (this will drain your battery in short notice).
3) You have connected the tail light to the wrong cable (you found one that bypasses the ignition switch)
Time to pull out the ol' VO meter and find out why you have 12v on that wire when it should be off.