You may have a bad solenoid. This is the device that sits on top of your valve and electronically opens and closes the valve. Sometimes they don't allow the valve to shut all the way and so water will continue to move through the lines. They are easy to replace. Just check at your local irrigation supply store like Ewing, Sprinkler World, Horizon, etc.

There could also be sand or debris in the diaphram of the valve. This will also interfere with the opening and shutting of the valve. There are generally 8 or so screws that hold the valve together. Remove the screws taking care that the spring inside the valve doesn't pop out. You can clean the diaphram or replace it. They cost about $5 - $6.

Good luck.