The red slide that pops up after you hold down the top button for awhile?
Try forcing all apps off (two taps on Home, hold down an icon on the bottom bar till it wiggles, tap on all the red buttons that pop up), then setting it to Airplane Mode, that disconnects all radios prior to the redbar shutdown.. If that works, means some wayward app is preventing the shutdown.
But I'll let you in on a secret. They're never off altogether. Ever since phones started coming with unremovable batteries, the powers that be decided it would be oh-so-nifty to be able to remote control them at all times and keep tabs on the owners. End of this conspiracy news flash...