This has been brought up in the past. Many new name-brand PCs and some newer motherboards default to leaving USB ports powered in soft-off. The original intent of this was to allow USB devices in a very low power state to wake the system up, but some devices now co-opt this behavior (against the USB spec) to charge batteries in portable devices.
A fully compliant USB device will shut itself down almost entirely (the spec is rather stringent about how much juice one can draw in standby) when the system is in soft-off, but, for various reasons, many of these "arcade control" devices ignore that part of the spec and stay fully powered and running.
Some PCs have a BIOS option or jumpers on the motherboard to configure this behavior, but apparently many new ones do not (that would cost a few cents, after all). See if you can find one. Often, it will be labeled somewhat confusingly as "USB Power Source" and provide options of "5V" and "5VSB". "5VSB" causes them to be always powered, while "5V" would cause them to be powered only in full-power.
The "solution" proposed by many is a shutdown task in your OS that tells the device to turn off.
Others install a USB add-in PCI card. These ports will power-off when the system is in soft-off.