As in physically unplug the system from either the wall outlet or the PSU?
Is it possible to keep the indicator lights on? Yes. Is it possible for it to power the components? Not even remotely. Power will still remain in the capacitors for a short while, though it's simply a residual charge and nothing that can be used to start a component, let alone keep it active. Also, the lights you see are just showing that there is a connection to the system - your ethernet port (most likely) does the same thing. With the system physically unplugged, press the power button - chances are you'll see a quick flicker of light or turn of a fan as the remaining power in the capacitors is fully discharged. If your GPU and ExtHDD light are still lit, it's drawing from the CMOS battery; an issue if left unplugged since even a small power draw will deplete the battery after a while. However, if left plugged in and the lights are on even when the system, is off, it's normal.