I used to have a computer that did that a long while back. It made a whistle whenever I'd scroll. IIRC I decided it was the video card, though I'm not sure I ever confirmed it.

The first thing to know is that the power consumption of modern CPUs varies hugely between idle and full-speed; from a few watts to several dozen.

When you are just looking at the screen, and the machine is otherwise idle, the CPU is not doing much, so it goes into low-power low-frequency mode and "sleeps" until some event occurs. When you put fingers on the trackpad and scroll, it sends an "interrupt" to the CPU, telling it that a scroll event has occurred; in a few microseconds the CPU goes from idle to full power to process that scroll event, then goes back to sleep again. The GPU might also be involved in the same way. Every little scroll movement results in an interrupt, so when you are scrolling at a constant rate interrupts occur at a fixed frequency, and the system is going from idle to full power many times a second. The pulses of power draw that this creates, happening at audible frequencies, causes various components like inductors and capacitors to emit sound.