Mine does the same, though not the same brand bulb etc. I had two ideas about it:
1) When the car is unlocked the circuit is closed (allowing current to flow through it) as it's highly likely you're about to open the door and either use the car or need the light on. Then when you lock the car, the circuit is closed (so no current can flow through it) for safety purposes as it won't get used anyway.
2) There's a residual/low level current flowing around the circuit and the SMD/LEDs are more sensitive than a traditional filament bulb and thus light up, albeit it very dimly.
No idea if either is true or not, just the only things I could think of. My money's on #2 if either are right though :tongueout:
Edit: Bothered to do some Googling. Looks like I was mostly right with theory #2. There's probably a low amount of current flowing through the system, possibly supplying or involving a switch or sensor. Could still be wrong, but there's a lot of articles about it with LED bulbs in house lights etc.