Smart lights need to receive wifi commands when they are off, so they do consume some electricity when they are off.

However, the electricity consumption is vastly lower in that state as no light is being emitted.

Smart lights are always on (even they look off) because they communicate with your wifi devices, and need to be able to switch their lights on and off by remote commands.

So yes they are using a bit of electricity when their light is off. 

When a smart light is off, it is called "standby mode".

Its light globe is off, but it is still receiving instruction from your devices so yes it is consuming electricity, albeit a very small amount compared to when it is on.