Código -

public class ShutdownReceiver extends BroadcastReceiver {
    private static final String TAG = "ShutdownReceiver";

    @Override
    public void onReceive(final Context context, final Intent intent) {
        Logger.i(TAG, "Shutting Down..........................");
        if("android.intent.action.ACTION_SHUTDOWN".equals(intent.getAction())) {
            //Power Off
        }
    }
}

Servicio -

private BroadcastReceiver mReceiver = null;

    @Override
    public void onCreate() {
         super.onCreate();
         // INITIALIZE RECEIVER
         //It is used to register broadcast for ShutDown or Power Off
         IntentFilter filter = new IntentFilter(Intent.ACTION_SHUTDOWN);
         mReceiver = new ShutdownReceiver();
         registerReceiver(mReceiver, filter);
   }

   @Override
   public void onDestroy() {
       unregisterReceiver(mReceiver);
   }

Permisos -

<uses-permission android:name="android.permission.WRITE_EXTERNAL_STORAGE" />
<uses-permission android:name="android.permission.INTERNET" />
<uses-permission android:name="android.permission.ACCESS_WIFI_STATE" />
<uses-permission android:name="android.permission.CHANGE_WIFI_STATE" />
<uses-permission android:name="android.permission.ACCESS_NETWORK_STATE" />
<uses-permission android:name="android.permission.CALL_PHONE" />
<uses-permission android:name="android.permission.READ_PHONE_STATE" />
<uses-permission android:name="android.permission.CALL_PRIVILEGED" />
<uses-permission android:name="android.permission.CHANGE_CONFIGURATION" />
<uses-permission android:name="android.permission.GET_TASKS" />
<uses-permission android:name="android.permission.RECEIVE_BOOT_COMPLETED" />
<uses-permission android:name="android.permission.DEVICE_POWER" />