You will always have current draw when the car's off. It's to make sure your head unit, clock and ECU don't reset every time you switch off the car. That test light check won't work, you need an ammeter like on a multitester.
What you're experiencing is called parasitic drain. You'll need to test the car with all everything off, doors, closed and the alarm armed (like it would be if it were really parked up).
These steps are taken from
http://www.wikihow.com/Find-a-Parasitic-Battery-Drain
1. Remove the negative side battery cable from the negative battery terminal.
2. Attach an ammeter(this measures amperage) between the negative cable and the negative battery post. Wait a few seconds to several minutes for the car to go into sleep mode - i.e. when you make the contact with the ammeter, the cars computer systems "wake up". After a bit of time they will go back to "sleep".
*EDIT: Make sure ammeter is set to measure the maximum 10A and it's on the highest scale to start off. If the current draw is much higher than the set scale, you risk ruining the ammeter. You can adjust to a smaller scale to get a more accurate reading AFTER you get your initial reading.
3. If the ammeter is reading over 25-50 milliamps, something is using too much battery power.
4. Go to the fuse panel(s) and remove fuses, one at a time. Pull the main fuses (higher amp ratings)last. Be sure to observe the ammeter after pulling each fuse.
5. Watch for the ammeter to drop to acceptable drain. The fuse that reduces the drain is the draw. Consult the owners' manual or service manual to find what circuits are on that fuse.
6. Check each device (circuit) on that fuse. Stop each lamp, heater, etc. to find the drain.
7. Repeat steps 1&2 to test your repair. The ammeter will tell you exact numbers.