After a few minutes? Or maybe after just a few seconds? What you describe is not a known bug or common problem with your new Apple TV 4K, so you need to be more specific about what components are involved and exactly how you "turn off all devices".
The ATV4K will conform with the HDMI standard for "Consumer Electronics Control" once the feature is enabled via Settings > Remotes and Devices > HOME THEATER CONTROL: Control TVs and Receivers = [On | Off]. Most HDMI devices, like your TV, have a similar setting to either enable or ingore HDMI CEC. You should verify that all of your HDMI devices have this feature turned on in order to power on/off, switch the active HDMI input, control volume, etc.
On my very simple system (ATV4K <-HDMI-> Sony soundbar <-HDMI-> LG TV), I've noticed a surprising behavior: If I use the Apple Remote or TV remote to power off, the other two components will follow suit (and remain off). But if I use the Sony soundbar remote to power down, the Soundbar (acting as a really simple AV receiver) goes to sleep and the TV screen goes black for a moment... but the TV's "standby light" remains off and the ATV4K white LED stays on. A few seconds later, the TV screen lights up again with the ATV4K's image.
This kind of feels like what you describe if we substitue seconds for minutes :-). The Sony has HDMI CEC turned on and its volume is controlled accordingly by the TV or ATV4K, but when I turned the soundbar "off", it's feature to pass HDMI signals between the HDMI input ports and the HDMI out/eARC port while off kicked in. Sony assumed that folks won't be using the soundbar remote to power the entire system on or off (and that makes sense to me).
Perhaps you're receiver is acting the same way as my soundbar? Perhaps you haven't turned HDMI CEC on for all components? Perhaps there's a poltergeist in your home that's messing with you? :-).