Why won't my auxiliary lights won't turn off on my car.

My dashboard, brake, and I believe the front turn signal lights won't turn off. Everything that the first switch on the headlight switch provides is on and won't turn off with the key is out of the ignition. I tried removing the headlight relay to see if that was the problem but the chime was still ringing indicating the lights were on. The headlights turn off when I turn it off it's the rest of the lights that will not.