Do you mean that the client still appears in the console, or that the properties (such as Last Report Time) are being updated?
If the former, the server has no way to know that the agent has been removed from the client and will continue to show the last known state in the console. You will need to remove the clients from the console yourself.
If he latter, that is odd. Possibly a backlog of reports on a relay, but it seems unlikely. I think you would need to open a support ticket for this.