Diagnosis
That's coil whine, and it's a known issue with some units. It's not harmful to the monitor, but it's incredibly annoying. It's caused by electrical components (like inductors or capacitors) vibrating at high frequency, often related to the power supply or backlight circuitry.
How to Fix It
The noise often changes with the monitor's brightness or refresh rate. 1) Go into the OSD menu (using the joystick) and navigate to the Picture settings. 2) Try adjusting the brightness up or down. Sometimes a specific brightness level makes it worse. 3) Go into the Gaming menu in the OSD and try switching the refresh rate. For example, if you're at 165Hz, try dropping to 144Hz or 120Hz to see if the pitch or volume of the whine changes. Finding a setting where it's less audible is your best in-house fix.
If That Didn't Work
If the whine is loud and persistent right out of the box, and changing settings doesn't help, it's a manufacturing variance. Your unit has particularly noisy components. In this case, if it's within the return or warranty period, you might consider an exchange, as another unit may be much quieter.
Heads Up
This noise is often more noticeable in a quiet room. Before you go through the hassle of an exchange, see if it's still bothersome during normal use with game or PC audio playing. Sometimes you can't unhear it once you've noticed it, though.