Do you have power on by mouse disabled? This option is usually found in the ACPI screen in the BIOS.
Frankly, S4 and S5 power states are not defined as zero power usage states. Microsoft explains them here:
System Power States (Windows)
A PC that is shutdown in Windows is in the S5 state, but still has some power applied to the board. The power switch on a PC is not a mechanical switch that allows electric current to flow, but an electronic switch that activates the major portion of a PSU. In order for that to function, some power is used by the board.
The only thing potentially wrong is either your configuration in the BIOS, or the option that turns off power on via mouse not working correctly. Even then, that setting may just cause a signal from the mouse to be ignored, and some power will still be applied to the mouse. The only way to truly turn off a PC is with the PSU's power switch.
Does your mouse have a power switch? Both of the mice I use can be turned off, but are wireless and use a battery.