Most likely, your database was disconnected when you tried to DROP . In this case, SQL Server leaves the db files in the file system. This is intentional behavior.
According to DROP DATABASE (Transact-SQL)
Removing the database removes the database from the instance of SQL Server and deletes the physical disk files used by the database. If the database or any of its files goes offline when it is dropped, disk files are not deleted. These files can be deleted manually using Windows Explorer.
source share