DSLRs have to modes to operate them:
- The classic viewfinder-approach: You set the aperture, shutter speed, and ISO value. The only way to know if you exposed properly is the exposure indicator - or to take a picture. It is possible to see the change in depth of field with most cameras as they offer a preview-button.
- The LiveView-approach (used by MILCs per default): What you see is what you get. To do that, the camera tries to change all parameters live.
And this is why you hear a clicking sound - it sets the aperture as soon as you change it.