Led lights on sensors
For the obsolete type of sensor you are using, you're doing better than many.  

There are two ways a sensor can get power.   One is to bring a hot and neutral wire to the sensor location.  However, many sensors are retrofitted where a plain switch had been, and  plain switches do not require a neutral wire, so there isn't one.  

So the other type was developed.  It gets power by leaking a small amount of power through the entire circuit, including the lamps.   Thats not enough to light up an old incandescent bulb.  But it is enough to light some LEDs since they are so efficient.

You are probably stuck with it unless you switch to the other motion-sensor type. Or make one of your bulbs incandescent.