Upgrade to newer LED technology from PrecisionLED via the product link:
9) Remove the xenon ballast in the bi-xenon headlights (6 bolts) then disconect the harness, now remove the 5 pins (thin black, thin brown, red, yellow and uncovered ground wire) you only need two wires to turn on the xenon (Strong black and Strong brown)
Xenon headlights have a ballast to ignite the high voltage xenon lights when they turn on that can remain energized even if the lights are turned off. Be sure to disconnect the headlight assembly or battery before attempting to replace it. If your CX-5 has a HID headlight burnt out, it could be a burnt out bulb or failed headlight ballast.
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