Problem with standard Chorus radio on my S3

Can someone help with my problem ??

Radio is on with car running,
turn engine off - remove key.
Radio is still on ??
Lock car and radio just stays on.
The only way is to turn the radio off, every time i use it.

Mr Ranger, what head unit is it?
Some late model A3's do not have an ignition on feed to the head unit, but use the CAN-BUS to tell the HU when the ignition is on. Sounds to me like someone has fitted a different HU and either not bothered to wire it in correctly or is not compatible with CAN-BUS so has to have the ignition on wired to perm live.
Either way it is relatively easy to wire in an ignition on from the fusebox. There's a thread on how to do this in ICE forum. Just run a wire from the Radio (S-Kont) fuse.

Thanks for your replies, The head unit is the standard audi concert with 6 disk changer.
Whilst driving today with the radio on, it just turned itself off without any reason.(after 1 hour)
I seem to recall someone mentioning if your ignition is off you can put the radio on for 1 hour only.
It would seem to me (not technical when it come so radios) that the power for the radio is coming for this one hour timer opposed to its normal feed when the car is running hence staying on when the ignition is removed. Maybe a dodgy relay???