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I know that, but in my car, when I turn off the ignition, it turn off EVERYTHING. It is like something ON or OFF.
Then you have things wired wrong. That's what we're trying to tell you. It's supposed to do what you want it to do, as long as you wire it correctly.
There are two wires on the empeg player, one is orange and one is yellow. The yellow wire must be connected to the constant power (either directly to the battery through a proper fuse block, or whatever you've got it hooked up to now). The orange wire needs to be connected to ignition-switched power, which is the "everything off" you just described.
If you connect it that way, then it should do exactly what you are asking for it to do.
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And I dont really want to exchange the power connection on my empeg, because when you turn off the ignition it also turn off the amplifier output command and a very lound noise goes out the speakers.
Again, this is because you've WIRED IT WRONG. If you wire it correctly, it won't do that.
There is sometimes a bug with that, and if so, you can fix that bug as described here.