USB drive is...alive?

I bought 2 of these Maxtor 500 GB USB drives recently. They seem to work just fine and aren't too sensitive to outside forces (like me taking one in my car to another location). But the "power" light on the front stays on, even when the computer itself is turned off, and I can always feel it doing something inside, by putting my palm on the side of the unit. Is it just me, or is that kind of behavior in an external USB device kind of odd? Why does it keep "working" even when the computer is turned off? I keep waiting for the drives to sprout legs and run away! :) I'm sorry Dave, I'm afraid I can't do that...