You wouldn't happen to be on Straight Talk would you? I know ppl who had this same problem due to the Straight Talk 'My Account' app. It had an automator which turned on wifi every time you unlocked your phone.
I'm on Sprint and I'm having the same issue! It's driving me crazy. I've got the Connections Optimizer de-selected as well, so this should not be happening. Can anyone of you phone geniuses tell me how to make it stop?