Only if it's defective. If the PSU clicks only when the power strip is turned on, IMO that's normal.
Oh well, not sure how to start, just got a brand new Dell XPS 8950. I hear a clicking noise when I shut down the OS / power off my desktop. Is it strange? Beside that I always put my computer equipment on a power strip, if I don't use it, I power off the power strip to safe all stand by power, etc. I experience that every time when I turn on the power strip, there a clicking noise coming out from the PSU of the desktop? What you think of it?
XPS 8950, PSU clicking noise