Because the ignition switch is defective.
If not, then you may be be "dieseling" - meaning run on of the engine - that is BAD and you have to find out why it is doing that - usually something is misadjusted in the engine's carburetor or fuel injection system (usually a mechanical control)
what year ? if it is say 2000 sportage with double overhead cam, possible real damage done, this IS an interference engine. In english, if timing belt breaks while engine is running severe damage can be done to valves, cams, pistons,etc. A $50.00 timing belt could easily cost you now $2500.00 to repair engine. If it just broke sitting still and NOT running, $ 458.00 to fix ,include water pump , it is driven by timing belt.
A coolant leak while the engine is running is likely in the water return hoses. The vehicle can be standing still and in park, but with the engine running the fluids are still being pushed through the system to keep the engine cool. The water return lines generally run from the top left of the radiator when you are standing at the front of the car looking at the engine. Any leak in that system will likely not continue once the engine is stopped as the fluid no longer is pushed through the system.
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