Turn it off. I do the same.
Heck, about a month ago I tried to turn off the headlights that someone left on in their car! I ended up not doing so because an alarm went off when I opened the door. I ended up heading calmly inside to let the DJ know so he could make an announcement that no one will listen to (thats the reason I tried to do it myself). On the way in some bike patrol pulled up and asked what happened. I told them I tried to turn the lights off and the alarm sounded so I was going to go inside. I then offered my license and contact info. They said it wasnt a big deal and let me pass. Circumstance kept me in the parking lot an additional 20 minutes and I noticed no one had gone out to turn them off.