Thank you Jesus Hoffa & Snowdog99 for your input,
Just to confirm, this happens when I turn the ignition off and remove the key.
This is an intermittent problem, the headlight does “sometimes” go out when I turn the ignition off. I also decided it might not be a good idea to keep disconnecting the battery every time I turn the ignition off, so now I just unplug the left headlight every time it stays on. Big pain in the ….