Because the coolant stops circulating when the engine is turned off, the engine actually keeps getting hotter for a while after the engine has been turned off. If the engine gets hot enough (above 112 degrees Celsius/ 230 Fahrenheit) the aluminium cylinder head can start warping, causing uneven pressure on your head gasket, causing it to blow the next time you turn on your engine. As far as I am aware, the engine block itself also contains aluminium, so keeping it cool is even more important than engines with cast iron blocks.
The fan coming on when you turn off your car is meant to keep the temperature beneath the safe threshold. Maybe your car's engine was designed to run hotter because it improves emissions figures. For instance, my car was designed to perform optimally (emissions-wise) at 99 degrees Celsius, which is just below the boiling point of water. Obviously that's a bit dangerous and therefore the fan also turns on after a drive on a particularly hot day.
If this is really annoying to you, I suggest you find out from an auto-spares shop if there are cooler-running thermostats that you can have installed that will open sooner and keep your engine cooler, possibly negating the need for the fan to be turned on when you turn the ignition off.