How long are you waiting? That light stays on until the car electronics go into sleep mode, approximately 15 minutes after turning everything off.
Unlocking or opening the door will wake the electrical system so I would recommend looking through the window without touching anything after 15 or 20 minutes to see.
Was: 2008 335xi sedan 6MT Black Sapphire Metallic
Is: 2014 Tesla P85D (Blue Metallic)
Wife's: 2013 Infiniti G37 S sedan 6MT, Black