I'm really not well-experienced with the mechanical guts of laptops, I have done a couple of easy things but that's about it. If this persists it sounds like it may be a failed switch, but that's only a shot in the dark. When you set the switch to "off" it should mechanically break the circuit; if it does not then the only explanation I can think of is the switch is "shorting" because the contacts broke and are pressed together. Wish I could help you more. You might try Youtube....do a search for "(your make & model lap name) wifi switch not turn off" or some such. You might be surprised at what you come up with, I am sure that somewhere in the world others have had the same problem.
If you find the solution, please post back, I would like to know what you find out!