As Jan said, the capacitors still hold an electrical charge in them even if the PSU is off/unplugged. They could have enough charge to even kill you. However, getting electrocuted by them is unlikely but still possible. It is recommended you wait for a long time so they have time to discharge.
However, if you can't wait, at least wait 30 minutes before you do anything to the power supply, then replace the fan, but keep your hands as far away as possible from the components. I waited 30 minutes before I replaced the fan and power supply cover, just tried not to touch any of the components.