It is coils. They vibrate with the high switching frequencies. They are are part of the power delivery system on the card(turns the 12 volts into whatever the card needs).
It is not damaging and many users simply can not hear it.
In general, it is luck of the draw, I have had cards i could hear at the strangest times.
The same thing can even happen on motherboards(coils around the cpu) and even power supplies(coils again).