If everything is behaving properly and this is the only problem, it's possibly one of the components, e.g. DVD writers can cause this.
Firstly, have a look in Event Viewer to check if there are any indications as to the problem. Also try waiting for, say, 20 seconds after finishing working on the PC before trying to turn it off. Look for any HDD activity after closing all programs.
If it is hardware (probably firmware) you will have to temporarily remove the hardware and go through a process of elimination.