The Liberty CRD engine has a "flow control valve" as part of the EPA emissions package. When you turn the key off, the flow control valve closes for about 5 seconds and shuts off the air flow to the intake. In this case, there must have been enough oil in the intake to keep it running past the 5 seconds. 

The emisions crap: this little diesel has EGR. When the computer determines the engine is up to operating temps and the MAF sensor determines there is sufficient flow, then the flow control valve closes and the EGR valve opens. This allows soot to enter the intake. It also has a PCV valve that feeds back into the intake side of the turbo. This combination of soot and oil vapor gets to meet in the intake manifold where it plugs up the manifold pressure sensor as well as the manifold. 

However, I have "heard" of guys unplugging the MAF sensor. This causes a check engine light and disables the EGR valve and flow control valve from opening while the engine is running. I have also "heard" of guys venting the crankcase to somewhere other than the air intake. These two mods keep the soot and oil vapor out of the engine. Some guys have went to the effort to build a little electronic device that tricks the computer into thinking that the EGR valve is working, when in fact it is disconnected. This device keeps the check engine light from coming on, which helps you pass emisions tests if you are in an area that requires them. The check engine light on mine is on, but it does not bother me.