I know my Toshiba HDD makes a very audible but brief click on shutdown and sleep, but it works perfectly fine..Heads parking..My particular WD's are silent.
Not blowing you off here, but you would probably get a better answer by going to the
WD Community and inquiring there or contacting WD Support..They're all about drives..If in doubt, then return it according to Newegg's return policy..But I'm going to say the noise is perfectly normal and it's head parking like my Toshiba.
And as stated in the WD Knowledge Base, Normal drive sounds include: Hard clicks during a head park operation (shutdown or sleep mode)