Another possibility is the relay sticking in the closed position.
GregS and Arthur Dalton have great suggestions (although I think is the opposite, the sensor drops its resistance as temperature rises, hence the sensor could be electrically "closed" at all times).
Unplug the temperature sensor, if the fan is still on, then the relay is likely at fault.
1999 Porsche 996 Carrera Convertible
1994 420E - SOLD
1986 300E - SOLD, what a car