That means your laptop is just asleep, not shut down -- that's the default setup for Win 10/Win 8.
If you'd rather it fully shut down when you press the power button, you can change it's behaviour in Control Panel >> Power Options
Or leave settings as they are and when you want to fully shut down, right-click the window icon at bottom-left of Windows Desktop, hover mouse pointer over "Shut down or sign out", then right-click "Shut down".