Diagnosis
It's definitely not supposed to be a jet engine. The most likely cause is the projector's air vents are blocked or it's sitting on a surface that's trapping heat, which causes the fan to ramp up to maximum speed to try and cool it.
How to Fix It
1) Turn it off and let it cool down completely. 2) Check all ventilation slots—the big ones on the sides and bottom. Make sure nothing is covering them, and that they're at least 6 inches from any wall. 3) Place it on a hard, flat surface. Don't set it on a blanket, pillow, or your lap while it's running.
If That Didn't Work
Dust buildup inside the vents can also cause overheating. With the projector off and unplugged, use a can of compressed air to gently blow out the side and rear vents. Don't shake the can, and hold it upright.
Heads Up
The fan will always be audible, that's normal for a small projector. But a constant, high-pitched whine or roar means it's struggling. Overheating is the number one killer of projector bulbs/LEDs, so this is worth getting right.