When you switch off your player from music play back, the player is actually putting itself into resume mode to ensure that it will wake up promptly and able to resume back to the song where you last stop playing.
When the player is put in resume mode it will continue to drain some power of the battery therefore if you are not planning to use the player for a while then it is better that you first do a soft reset of the player by following the steps below before switching off the player to make sure that it is completely shut down.