blackmercedes is right. You should look for a vacuum leak as vacuum is used to shut the fuel supply off and shut down the engine. When the circuit with the shut down actuator in it loses vacuum due to a leak in one of the connectors, or the diaphragm actuator that actually moves the fuel shut off lever ruptures and leaks, the car will stay on when you turn the key off and take it out. You have to use the manual shutoff lever on the injection pump to shut the car off, or stall it if you have a manual transmission.
Post your question or problem in the Diesel Discussion group, or do a search as this is a common ailment. If you are having a different problem some of the guys on that board should be able to help. Jim
1986 Euro 190E 2.3-16 (291,000 miles),
1998 E300D TurboDiesel, 231,000 miles -purchased with 45,000,
1988 300E 5-speed 252,000 miles,
1983 240D 4-speed, purchased w/136,000, now with 222,000 miles.
2009 ML320CDI Bluetec, 89,000 miles
1971 220D (250,000 miles plus, sold to father-in-law),
1975 240D (245,000 miles - died of body rot),
1991 350SD (176,560 miles, weakest Benz I have owned),
1999 C230 Sport (45,400 miles),
1982 240D (321,000 miles, put to sleep)