I have this happen with external drives. I believe it's Windows and may be related to indexing of the drive. There are some utilities out there that will show files that are open by which process. This may help in determing what is going on.
Lightroom sometimes has several secondary processes being completed after you may have finished a working session. It may be possible that Lightroom does not wish you to disconnect the External Hard drive. A couple that comes to mind is face detection and address look-up. You can pause them if you wish.