DIAGNOSIS This is a known behavior, not a fault. The LED work light has a capacitor that retains a charge for a short time after battery removal. It is not draining the main battery as the circuit is isolated once the battery is detached.
FIX The light will turn off on its own within 30-60 seconds as the capacitor discharges. To discharge it immediately, briefly pull the trigger with no battery installed. This completes the circuit and drains the remaining charge, turning the light off.
IF THAT DIDN'T WORK If the light remains illuminated for several minutes with no battery, there is a very unlikely internal short. This would require service, but the primary risk is a dead tool light, not a safety hazard.
HEADS UP This capacitor discharge is normal. It does not indicate the tool is 'on' or consuming power from a battery that is not there. Reinstall the battery to confirm normal operation.