Turbochargers run very, very hot. They turn at over 100,000 RPM, half filled with exhaust gases.
Once upon a time, users of turbocharged cars were told to idle the car for a few minutes before shutting the car off, to let the turbo cool.
VW runs the fan after you shut the car off for a while, to cool off the engine compartment and let the turbo come down in temperature so you don't have to remember to do that.
It's intentional and will allow your turbo's bearings to last much longer.