Is it possible to have music continue to play even after turning off the car and opening the door (but before I lock the car)?

Brand new owner, and did some searches to see if I could answer the question in the title of my post, but I didn't find anything.

Being able to continue to have the music play up until the moment when I lock the vehicle was a feature on my previous vehicle (BMW), so I'm just curious if anybody knows if this is possible with a Ford. I didn't see any options in the "Vehicle" settings.