Yes, thats usually not normal..
If it is wireless (like already stated) there should be a switch.
But for a wired mouse?
Well, is it USB? (im not sure if optical mice are usb only or not..)
If it is, maybe for some odd reason you have power being constantly supplied to the USB port, which would keep the light on.
Happened to me.. believe it or not, bad wiring :-D
Also, make sure you're not just in Stand-by, as someone already stated, too.
Even though i just restated most of that stuff, i added my own...
heh.
Good luck with that!