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It's because they require so little energy to power them that there's enough parasitic power (energy picked up from adjacent cables) in the circuit to give a very small amount of light.
Usually nothing to do with the dimmer as in the off position it's disconnecting power completely.
Sometimes you see 'phantom' power on circuits when you're testing to see if they are dead. If you use a normal tester it gives you a warning. A 'real' meter will apply enough load to the circuit that the phantom power disappears.
Just realised one part of our kitchen lighting has one light that stays slightly on when ‘off’ on the dimmer switch. Others are off as but this goes off when turned off then comes back slightly on?!? What would be the reason if anyone has an idea?