Not had the problem myself, but something in your setup is picking up radio waves and its getting amplified in that speaker.
Are they amplified speakers ... if so do they make the same sound with nothing else connected to them ?
You can reverse your speakers and see if it still happens, or if it happens in the other speaker this time, in case it is prior to the speakers.
One problem could be earthing --- the earth picking up the radio and you have a feedback loop in there (that gets amplified) because of different gear being earthed separately (its often a cause of hiss and noise). Use process of elimination to see what wiring change (wiring or gear disconnection) stops the sounds.
If it happens with just the speakers on their own, check the earth of the speakers (or the amp that supplies them).