I think you DO have HID's, in which case when you push on your foglight switch ( whether they are there or not ) you are energizing the FOGLIGHT RELAY COIL. It probably draws only 150-200 ma. So with a standard filament bulb in series with it, the relay will get 99% or so of the current. So when you now turn on the HIGH beams, the filament now gets grounded and the relay drops. When you go to turn OFF the high beams, the HID ballast is already excited ( hot, turned on, whatever term you wish to insert here ), so that 150-200ma that the coil ( now in series again with the headlight ), is enough to keep the ballast excited, and your headlights on.
Few choices here .....
Live with it, and be careful of the fog light switch.
Remove the foglight switch and sell it to a member here looking for one ( but you'll need a blank in it's place )
Remove the foglight relay.
Hope to see you at one of the 48hr dinners ....... Mikey
98S, 2014 Impreza 5 dr Ltd (9 Subaru's since 1978, 7 were 5 sp) ILuvSubaru's