Is it the perhaps the case that you are switching off the Sonos Group Co-ordinator? .. The device that’s in-charge and controlling the radio stream to the other Sonos players in the group.

If so, then then it’s probably ‘by design’ - maybe try just setting a different player, that you do not intend to disconnect, as the GC instead …and then see if that solves the issue when stopping ‘other’ devices that are simply receiving the stream instead from the GC.

Hope that sorts it for you.

Don’t “turn off” a room, just drop it from the group, no audio will be interrupted and if necessary the group coordinator will be changed for you.

Thanks. How do I know which room is the GC ?

It’s the room you are grouping to, the room you selected before choosing to group.  But it’s not even necessary to know the coordinator.  Just choose the grouped rooms, choose the group icon, and uncheck the room you wish to ‘Stop’, then ‘Done’.

That's how I've always done it.

I often use "Alexa, pause Kitchen" etc and never had a problem with rest of the Group, saying that I don't know if Kitchen was Coordinator or not..