Do dead CFL or LED light bulbs consume power and is it safe to leave them mounted?
There's different way these things can fail, and in most, they might still be using power.

I've seen all three:


failure modes where the bulb "shut down" and used totally insignificant amount of powers,
failed bulbs that used way less power, since they had no emitter to
drive, and 
failed bulbs where the built-in supply was constantly
trying to drive a shorted, failed emitter (array) and got hot and probably used more power than when it used to work.


They should be pretty safe to leave mounted, otherwise they not generally safe to begin with.

Typically, countries have electronic product regulations that say something like "user-exchangeable devices mustn't pose a risk at the end of their life", but it's usually a bit more complicated and depends on the country.