It really depends on how it was wired before. But if the light is staying on, you have a hot connected to the fixture.

So how it works: hot is connected to the switch, then another wire connects from the switch to the fixture. When you flip the switch, the hot continues through the switch, to the fixture=on. When you turn the switch off, the current stops at the switch. The blacks in the box could be another circuit.

Typically here, a red is used to connect the switch to a light fixture and black is always hot. But wiring in Chicago is much different than other places.

In the future, always take a pic before unhooking any wires. Even if you can't figure out what to do, it helps others help you.