MySQL slave server not removing old relay binlogs

The expire_logs_days setting controls binary logging, not relay logging.

Normally, the relay logs are purged when the slave has finished applying the data from them. This can be changed with relay-log-purge, but it's default is 1.

If your slave is simply behind, it will continue to accumulate relay logs by design. You might want to consider setting relay-log-space-limit to prevent out of disk space problems. This setting provides a disk space limit for the IO thread to use for storing relay logs.