The power supply has some capacitance which means it will retain a voltage, possibly for some time without a load.
You need to put your voltmeter across the power supply and watch it's decay when powered off. If you want it to decay quicker, you have to remove the secondary power or add a load resistor.
A linear supply would have a time constant of R*C. The capacitance and the equivalent R. At 5*R*C about 99% of the voltage would be gone accross the capacitor.