Diesels are turned on by engaging the starter, and because the fuel pump is mechanically geared into the engine, fuel reaches each cylinder mechanically to provide fuel and start the engine.  However, turning off the engine was a whole different ball game especially on earlier models where incorporating some sort of EDIC or other fuel control device was considerably harder.

So trucks, for example Unimogs, began to incorporate an air control device which can also serve as an idle control device on some models.  It is a simple mechanism that regulates the amount of air entering the engine, and the greater the amount of air allowed, the greater the amount of fuel is also allowed to enter and burn.  So, for example on a Mog, you can turn the key off and remove it but the engine will still be running!  You must then cut off it's air supply, using the idle control or "throttle."

In an Emergency Situation:
For one reason of another, your truck may or may not turn off due to an error with your fuel system.  Likewise, a seal may have blown in your turbo and the engine cannot turn itself off no matter what happens because it is actually burning your engine oil and the engine will not turn off.  If this happens your oil will be burned and you will also ruin your engine!

The only way to turn off the engine when you are in this situation is to CUT OFF IT'S AIR SUPPLY!!  Stick a rag, plastic bag or whatever into the air intake to turn if off.  If you have a snorkel, clog the snorkel!