That is best supported through HDMI-CEC. It is a feature with an on|off setting on most devices. Not all HDMI devices have this feature, or support it partially. Any and all CEC commands are optional for devices, meaning that Apple TV might send a “go to standby” command, but it is up to the other devices to listen for that, understand it, and execute it, if they support such CEC commands, as determined by the manufacturer.
For Apple TV the settings is at: Settings﹥Remotes and Devices﹥Control TVs and Receivers﹥On.
For your other HDMI devices: see their manuals. Some brands have their own trade name for CEC.