Yeah, that sounds like incorrect wiring. When you turn off the car's ignition, the player should go into standby mode. When it goes into standby mode, the amps should shut off. Then, after it's been in standby mode for a couple of minutes (the amount of time is configurable), it should shut down completely and not drain the battery at all. So if your player is not going into standby mode, then it's likely to be a wiring problem of some kind.