MacBook Air running Yosemite won't shut down when external HDD connected
Are you sure something is not still running...or something is preventing the disk from unmounting.
If there's a grey circle -- then it might be running fsck on the disk...
Now, another thread suggested:

Start Up in Verbose Mode using Command-V
Then issue: sudo shutdown -h now
Also, more /var/log/system.log

This should show you what's occurring as it shuts down.
The sudo shutdown -h now is equivalent to the Shut down menu option.
Also, try going into Disk Utility and manually click on the Unmount icon.  I would just want to see if it will unmount normally.
If it doesn't, then, I'm thinking SOMETHING is still using  the disk..