AFAIK, you can't turn off your WiFi radio, unless you're in flight mode or maybe if you're in power saver. Even though you are not connected to a network, the Nokia N9 searches for available hotspots regularly (I don't know the interval).

To be honest, it's useless to turn off wifi. I've done some testing, and the impact it has on power consumption is shockingly small. Hell, my idle consumption when I'm connected to a wifi network is at 13mA, as opposed to 9mA when not connected.