Because the circuit that feeds it power is not properly shutting down when you turn off the car. Could be a faulty ignition switch.

But what you can do and save some bucks is to just turn off the radio completely when you are leaving. Then the only juice it will consume is that used by the memory and clock circuits, which is normal and very low in drain.

Now if that radio is turning itself on when you leave the car you have two problems - 1 - a fubar radio with a mind of its own and 2 - a power circuit that is on when it should be off.