Have you tried just letting it sit for a little while after you power down?
It might be that that fan has a delayed turn-off to get the excess heat out of the computer after shutdown.
Wait 5-10 minutes after you power down, and see if it eventually stops.
I recently had to replace the power supply in my Dell computer, 24 pin to 24 om the MB it runs fine but my problem is when I shut down, windows and all the fans stop,but I have to shut off the switch on the back of the power supply to shut that fan off. any suggestions?