You probably have multiple lines on your phone. The red Message Waiting Indicator light (MWI) is still on because one of the other lines on your phone has new messages. You can check this by looking for an envelope icon on the other line keys.
You can turn the MWI on or off for each of the lines on your phone separately with the Device Management tools (see Account and Device Management). Or, contact Telephone Client Support at firstname.lastname@example.org or 3-HELP (617-253-4357) for assistance.