That sounds defective, I'd swap for a new one.
I'm not an electron head, this is a paraphrase a friend gave me when trouble shooting a short-battery-life issue, with apologies if it is garbled:
"Devices without a mechanical switch all have some kind of circuit that acts as the switch. That circuit necessarily uses some current. In a well designed, non defective circuit, that parasitic draw will be minuscule, maybe using a couple per cent of the battery in a year or some such. But that circuit will be built of various components - resistors, capacitors, and so on, If they are out of spec, sometimes even a little bit, the parasitic draw can go way up."
I don't think most manufacturers of consumer grade stuff test for parasitic draw. My friend sampled several of the devices he was working with and got something like a 10X diff in parasitic draw.
(a few years back, when LED flashlights were changing over from hard mechanical switches to soft switches, so they can be multimode and all, I think several manufacturers had QC probs resulting in high parasitic draw. I bet it's hard to design a low draw circuit, and harder to design one that is low draw across a range of component variance)