The AVG mobile security team has discovered malware which can spy on you even if your phone is off. I doubt there is much of an incentive do that at a time when people rarely shut their phones down (except to restart them). The developer probably wanted to show it off, as malware writers of the past have done. When the affected user initiates shutdown, the malware simulates a normal shutdown by displaying the shutdown dialog and animation, then it switches the screen off. The device will stay on and transmit messages.
According to AVG, this malware can make and record calls, take pictures, transmit text messages, and more. This is awfully creepy, and could be used to intercept sensitive information such as passwords or payment details.
Source: AVG.