It’s because a dimmer uses a solid state switching scheme that turns the current on and off such that only portions of the AC (alternating current) power are delivered to the bulb’s filament.

If you visit the website at the below link, you’ll see a graphic that depicts the waveform (both the unaltered AC line voltage as well as the switched waveform).

In a nutshell, what you are hearing is the filament vibrating by virtue of the magnetic field created by the current flow, which turns on abruptly when the switch is triggered.

P.S. By "energy efficient", you don’t mean fluorescents, do you? Yes, most of those will not operate properly on a dimmer.

Most of these bulks are NOT meant to be used with a dimmer switch. It could cause a fire.