My first thought is that you have a storage heater. These are normally hardwired to an outlet (i.e. not connected by way of a plug and socket), and are designed to make use of the cheap-rate electricity at night under the Economy 7 (or similar) tariff.
In normal use, power is automatically switched on to the heaters at night, and the elements then "charge" the unit by heating up the bricks. Power switches off from the timeclock around 7 or 8 a.m., the heat stored in the bricks then dissipates gradually throughout the day. There is a thermostatic damper control which allows you to control the heat output, and on most of the larger units there is also a separate input control which lets you set how hot the bricks get during the overnight charge period.
It could be that somebody has fitted a storage heater which just plugs into a regular outlet. Maybe they turned it on and off manually each night. It's unusual and certainly non-standard, but I've seen it done.
You say that it's still belting out heat after being switched off for quite a while though. How long? Storage heaters will generally be cold after 24 hours, a little more if it was fully charged to start and the damper has been shut all the time. If it's been off for 2 or 3 days, it certainly wouldn't still be hot.
The other possibility is that you have a fan-assisted stoage heater. These have two separate power supplies: One is the night-only power which charges the bricks as for a regular storage heater; the other is live all the time so that you can switch the fan on any time to help distribute the heat. If you've disconnected the fan supply but left the off-peak supply on, then obviously the heater will still be charged every night.