It may depend on the power supply. I have three machines running Windows 7 here, all are built into Antec P18x cases, all have case fans that plug into a Molex directly from the PSU and all of the fans shut down when the computer goes into sleep mode (s3).
The power supplies here are a Corsair TX 750, a PC Power and Cooling Silencer 510 SLI and an Antec Tru-Power 380.
Check your BIOS settings and make sure that sleep mode "S3" is enabled.