Headlights won't turn off

I bought my car about 2 months ago and never noticed the headlights not turning off until recently, previous owner didn't mention anything about it. And by turning off, I mean using the switch to turn it off. It will turn off when I shut off the car and open the door. Other than that, once I turn it on, release the emergency brake, they will come on and again, even if the knob is on "off", it's not off.

What could be the issue?