When you find car headlights won’t turn off, maybe you need to check your cars manual which will have the circuit of your cars and Remove the fuse if you know the exact one or else try to remove one by one and eventually one will switch of your head lights.

Now there is only two possibilities why this happened.
1 you did not turn off the car headlights switch or
2 your car headlights got hot wire (Direct due to earthing )need to check the circuit.

If you have any different idea about car headlights won’t turn off, please also come to talk about it.