Check Engine Light only comes on when the key is on, but the engine off?

I have a 99' Pat automatic. When I first got the car, the CEL was on. After getting a tune up, the CEL no longer lit up while my car is running, but I noticed it's still on when my key is in the ON position. Once I turn the ignition and start the car, the CEL turns off again. Does anyone have an idea what the problem is, and will it be able to p a smog with it doing that?