Relay contact insulation doesn't seem to be enough
If the relays are wired to bring out the NC contact you can wire the pole of the relay contact to the LED, the NO to the supply live and the NC to supply neutral. In this way, when the relay resets back to not powering the LED lamp, it will also short out the lamp (but not in a way that is dangerous).



simulate this circuit &ndash; Schematic created using CircuitLab
It's possible that if there's several metres of wiring involved in the installation, there might be enough capacitive cross-connection between otherwise isolated conductors to drive enough reactive current to glow the LEDs.