Exactly, that's the weird part about these places. I saw the same thing at a dead department store last year, lights on and everything. It has to be some automated system that never got shut off properly. Those leftover noises are always the creepiest bit.
Look at how building utilities work after a place closes. Escalators might be on a timer or tied to a main power feed that never got switched off. Sometimes the electric bill is still being paid by some old account no one checked. It's more about lazy management than anything spooky. People hear a noise in an empty building and assume the worst. But most times it's just plain old neglect, not a horror movie scene.