I have experienced this on all laptops with Intel processors about 1-2 years of age. It is indeed coming from the CPU itself. I have read that it has to do with overclocking (I think it's called Intel Hyperthreading Technology), which is can be disabled in the BIOS. If enabled, the processor can overclock itself at high loads.
Also, it could be the C-states of the processor. These are power-saving states and when the voltage drops to zero or comes back, the individual circuits and connection pins inside the cpu heat up. The CPU does contain a lot of microscopic transistors that will create noise when the voltage is altered. You know this from power adapters to phones, etc.
Paging through the 200+ pages of hardcore technical specifications of the latest Intel i7 chip, I discovered the following. I cannot claim to know whether there be any connection to the issue at hand: "The system memory controller incorporates a Data Scrambling feature to minimize the impact of excessive di/dt on the platform system memory VRs due to successive 1s and 0s on the data bus. Past experience has demonstrated that traffic on the data bus is not random and can have energy concentrated at specific spectral harmonics creating high di/dt which is generally limited by data patterns that excite resonance between the package inductance and on die capacitances. As a result the system memory controller uses a data scrambling feature to create pseudo-random patterns on the system memory data bus to reduce the impact of any excessive di/dt."
di/dt has to do with instantaneous voltage (i.e. C-levels). Remember that every circuit is a "speaker" because the induced magnetic field around the wires/connection pins make things vibrate. Vibration=sound.
This has to do with simple harmonics, and that might be why my processor of 3.8 GHz can only be heard under certain loads, because of overclocking and thus the alteration of these harmonics. 3.8 GHz = 3.8x10^9 changes of current per second. This must mean that at some microscopic level, the CPU vibrates as well. I guess that under normal or idle loads the CPU throttles down to a lower frequency than 3.8. At higher loads, the frequency of the electrons through the CPU accelerates to 3.8 GHz, which makes certain parts inside the CPU "vibrate" at some macroscopic level, and therefore we can hear it as a sound.(those of us who have those frequencies of our hearing to spare — human age is probably also a factor here :). Those vibrating parts might be the transistors or whatever.
Also worth reading: https://electronics.stackexchange.com/questions/126502/how-can-purely-electrical-circuits-emit-sound