So the bulb turns off immediately in another lamp? Maybe the switch on your lamp doesn't open fully when you turn it off.

I remembered something else: If you have a switch that cuts neutral instead of the live wire or both wires, LEDs can continue to faintly glow because of induced current. So I guess try reversing the plug on your lamp (if you can, I know in many countries the plugs are not reversible), but idk maybe that's not it.