Unlike the mechanical contacts which make an open circuit, SSRs do have a leakage while off, (about 10-20 mAmp) and they never make an infinitely open circuit. The reason why this is happening is because the volt meter has such a high impedance that it will measure the same voltage on the line side and on the load side (to neutral) with the load out of the circuit. The same thing would happen with a load in place.