How to force drop database in SQL Server 2008
That is expected and documented behavior:


  Dropping a database deletes the database from an instance of SQL Server and deletes the physical disk files used by the database. If the database or any one of its files is offline when it is dropped, the disk files are not deleted. These files can be deleted manually by using Windows Explorer. To remove a database from the current server without deleting the files from the file system, use sp_detach_db.


So why are you taking your database offline first? Just set it into SINGLE_USER mode and then drop it as documented on SQL Server Books Online.-

USE master;
ALTER DATABASE [databasename] SET SINGLE_USER WITH ROLLBACK IMMEDIATE;
DROP DATABASE [databasename] ;


Note, database backups will not be deleted as part of the process documented above.