Some speakers are just annoying and generate funny noises at certain points of their operation.
Usually these are the cheaper Made in China ones I find at flea markets.
If you're dealing with sound issues on a premium sound system I suggest checking out the connections, dealing with interference, trying if gold connectors work, etc, but I'd rather just replace the speakers or soundcards most of the time.
Some of the cheap stuff can sound surprisingly good - I usually stick to reliable brands like Altec Lansing and Logitech.