GPS auto-turns off when not in use.

If always on, you either left an app running or you enabled positioning messages in the chat menu. If you do, conversations keep the GPS on at all times. Depending on precision, it's coarse locked or fine locked.

Finally, turning it off will do nothing but crash using app at worst or get re-started at best.

Find out what's using it and shut it down. My money is on chat.