All of my interior LEDs do this. A friend of mine told me that the cars electric system is never fully off while the car is running. So while the ignition is on, there is always a little bit of power running thru the wires. Nothing to worry about, but if it does bug you, there are error free LEDs available they just cost more because they have a built-in resistor.
Let me introduce Mr. Roush to the party.