This is probably the fan to cool down the camera (processor & electronics).
You can switch off the cooler by placing a file "temperature" (w/o extension) to the root of the SD-card. file can be empty, only the file name is important. This makes only sense if you use the internal microfone of the camera.
In autumn/winter no problem to use it - in summer, it is your responsibility to go on without cooling.
It might be only a coincidence but I noticed that the fan of my CGO3 is a lot louder than the fan of my three CGO3+. Sadly I do not have another CGO3 to compare. The CGO3 is also older so it might be the reason.