Macbook + WD External HD Question

I'm using my 1TB external hard drive to watch movies/tv shows, or just to work on a word document or Ableton music project. My question is all of a sudden it will not eject after watching a movie or TV show. It tells me Applications are still running off the hard drive. They are .avi and .mp4 files (if that matters).
I can work on a word document or Ableton project for example and I can eject the hard drive fine. It's only when I'm watching media. I Quit all applications before ejecting and have even have turned off Time Machine thinking that application maybe trying to run my hard drive. No applications are running, I'm positive.
Any suggestions on how I can eject my hard drive properly, without just shutting it off when I power down my macbook.