Many devices inside of a computer have lights that indicate they are receiving standby power (5v). Modern electronics do not 'turn off' unless unplugged. They are always waiting for a power on signal to turn on the higher voltages, but consume a small amount of electricity at all times when plugged in.
I suspect the motherboard more than a GPU, but it is possible. There are many variants of the GTX960.
If you want to stop power draw and lights, I suggest a power strip that you can turn off. Preferably one with a surge suppressor if you don't already have one.