How do Wi-Fi controlled light switches feed themselves?
Most likely it uses a transformer and a relay. The transformer brings it down to a DC current with usable voltage for the wifi and anything else that is needed. 
The relay then turns on and sends power to the bulb. 
The power is always going to the switch and the transformer to keep the wifi working.

I would think since the wifi uses such a low power and there are only 2 wires that there is always a small amount of power going through. It must use a current limiter to not let enough power through to turn on the light bulb as it is using the power it needs to let the wifi work properly.