I'm not like an expert, but capacitors and coils (like in a transformer) have a sort of inertia. You can look at voltage and current response curves of these components. Figure 3 and 7 in this teaching material I found on Google shows such graphs.

I've seen little LED power indicators on stuff take a second to go out when you unplug the power supply from the wall. Haven't seen it with a light, but modern LED lights do have power supplies so it's not impossible.