Many wireless mics have a "squelch" system to aid in the reduction of unwanted noise when using an analog wireless microphone. When you turn off the transmitter, the squelch pilot tone stops transmitting to the receiver, making it increase its range to look for a new signal. Inevitably, the receiver will find interference, and since it is not being muted by the squelch tone, the noise is passed into your audio system.
Squelch Basics
How to Adjust Squelch