Car is not yet in sleep mode. You'll likely hear a few sounds (clicks) as well, as the systems switch off and go into full sleep mode. Can take 10 - 15 minutes.
I’d suggest reading the manual or you will be draining your battery.
Do one of two things:
Engage the parking brake after the engine is shut off
Or
Hold down the power button on the volume knob before you exit the vehicle
I have also noticed that sometimes the auto stop will engage when you intend to leave the vehicle. If this happens, hit the start/stop button to shut the engine off, then perform one of the above steps.