Sounds like you don't have a coolant recovery tank. When you shut the engine off, the coolant stops circulating and the temperature rises slightly. When this happens, the coolant expands and the excess pressure pushes against the spring on the radiator cap and escapes through the overflow in the radiator cap neck. When the coolant and engine cool later, the coolant constricts and pulls air into the radiator. If you have a coolant recovery tank, the excess coolant flows into the tank and when the engine cools, it sucks coolant back into the radiator eliminating air in the cooling system.