It's possibly OK since some motherboards with RGB capability keep the motherboard's RGB lighting on after shutdown. It's a bit weird all alone but when part of a complete RGB setup it can be pretty awesome looking if that's your thing. You can probably turn it off in BIOS or using a motherboard utility; or change that "heart beat" pulse to a steady light or another pattern, possibly even use other colors.
That's just a guess. Better answers come when you include information like make, brand, model of motherboard and other components.
There is another LED light in the ethernet connector that will remain blinking with LAN activity from your router. It's still on when the computer is shut down because most network cards have default settings to allow starting up the system by a command from the network in case it's located within a managed network. That can be disabled within advanced network card settings in device manager.