I think I found a work around. When you shut down your RPi, the /etc/init.d/networking script is invoqued, called by the rc.d hooks. In turn, the /etc/init.d/networking execute ifdown -a in the "stop)" and the "reload)" case switches. Just comment out these lines. Even better, if you want to deconfigure gracefully the interfaces before shut down, replace the ifdown command by the appropriate ip link set eth0 down command. I just checked with tcpdump, no DHCPRELEASE is sent in that case.
Using Linux command line usually boils down to these three things:
#1) Respect the privacy of others.
#2) Think before you type.
#3) With great power comes great responsibility.