1. Fans wouldn't stop immediately, but only after the Mac is cooled down.
2. Newer Macs do things even when they are asleep. For example, they can do Time Machine backups while asleep. If you have a Fusion drive, it will optimise that when you are not using the Mac, including while it is asleep.
The noise should stop quickly. If it doesn't, open Activity Monitor to find out what apps are running.
And just in case there is confusion, "display off" and "sleep" is not the same thing.
I found out that if i put my iMac to sleep, and later plug my iPad or iPhone into a wall charger, the iMac fans and HDD starts, but the screen doesn't turn on. I assume this is the automatic Wi-Fi sync. Maybe thats what happens to you?
I could be wrong, but if the mac is new it may be indexing. this usually takes along time before its finished. it could be several hours sometimes depending how much data you moved over ect.