Be sure to turn off the electric before working inside the unit. This isn't that uncommon on Coleman electric furnaces, most likely it's the sequencer, you can completely disconnect the thermostat and if it's still on it's a pretty good indicator that it's the sequencer. The sequencer is a relay (switch) that controls the heating element(s), they get stuck on and then the high heat limit won't turn them off even if the fan isn't running.
I would replace the sequencer, fan switch and limit switch (high heat), at the same time, they should all cost around a $100 more or less. I get the parts at a local appliance center but I'm sure you can find them on-line somewhere or a heating supplier. The reason for replacing all at the same time is that when the sequencer goes out and the heat is stuck on, if the fan is not on the other switches (fan & limit) can be affected by overheating plus you'll eliminate a potential future problem.
Picture of what the sequencer looks like: