Shutdown isn't instantaneous, and if interrupted prematurely may corrupt the content of your microSD card. The controller embedded in the microSD card itself is also thought to do some 'housekeeping' after the Operating System itself has ceased writing to the device, for which power is still needed.
To get a feel for how long to wait, watch the green activity led on the RPi board. It should flash steadily 10 times before going out completely. Take a couple more deep breaths, then it will probably be safe to remove power from the system.