is this a dimmer, bulb, or my wiring problem? the previous bulb was incandescent if that makes a difference..
If it's clicked off there shouldn't be any power going to the bulb, so the dimmer portion of the switch isn't a consideration (assuming the switch is working!).
What can happen is a tiny amount of parasitic voltage can jump from the always live core of the switch cable to the bulb core, and if the bulb is sensitive enough it can power it.
A different bulb might fix it.