Check engine light still on after changing all O2 sensors

You didn't mention what car? Why did you change all the o2 sensors? I've never heard of all failing at once, unless you only have one, what codes did you get? The check light won't necessarily turn off for a certain number of warm-up cycles where no further faults are noted, you can have the light turned off though the car will have to run through alll it's self-checks again, that's why you can't turn a light off for emission checks if required, it'll show up.