It will only drain the battery when you are running an app that uses GPS, i.e. when that icon is visible.
Some apps let you choose what location systems they can use, so it might be worth looking in the menu of the app to see whether you can tell it not to use GPS.
I realise I'm not directly answering your question, but I don't have an S4 so can't really investigate any features of that device. Is it a particular app that seems to be doing this? If so it might be worth checking it's not capable of enabling GPS itself, or you haven't got something else set to do this (an app like Tasker that is capable of enabling or disabling GPS).