Why do i hear a thud when i shut down the system?

I have owned Vandersteen subwoofers with an Audio Research Classic 60 and never had a turn off thump.

Amthanh, Vandersteen subwoofers do not connect to the preamp out. They connect to the outputs on the amplifier.

if I remember right, it is a capacitor(s) discharging

As you mentioned your system has 2 sub woofers, I think the thud comes from your sub, it could happen when you turn off your system even with the amp first because the sub still connect to the pre-amp output. Try to turn off the sub first and see what's happen.

If you turnoff the preamp before the amp, that could be the cause. Generally you turn on source, preamp(s) amp and turn off amp, preamp(s), source.

turn off the amp first and wait a few minutes then turn off the preamp.