Why does the battery of a phone drain when kept switched off?

Two things are going on.

The phone consumes a small amount of power to monitor the software-operated power switch and docking port, ready to wake the rest of the phone when it needs to.

A Lithium-ion battery experiences self-discharge at a rate of 1.5-3% of capacity a month when unused due to internal chemical reactions.

If you disconnected the battery from the phone, only self-discharge would happen.