The phenomenon is indeed most likely coil whine and it's not dangerous for your card.
As you mentioned in your comment, the coils, or more accurately - the chokes, clean out high-frequency alternate current while letting low-frequency alternate current pass.
Chokes consist of comparatively quite thick copper wires that are wrapped around a cylindrical or ring-shaped ferrite core. On very old motherboards they looked very similar to this:
On modern graphics cards, they are more likely housed in small black quadratic housings.
When the current passes the choke, the windings start to vibrate which may produce a high-pitched sound, quite similar to when you let a wine glass "sing" by rubbing your wet finger across its rim. These vibrations do not damage the chokes or the parts in their surroundings.
In "old times", when CRT monitors and (even more so) CRT TVs were still a thing, the sound was quite common, but people were so used to it that they noticed it only in the most extreme cases.
It's also no sign that your card is "broken" or "low quality". While it's true that some manufacturers produce cards that are more likely to suffer from this effect, the rest is just quality tolerance. One of my two R9 nano cards "whines" a little (only when using Eevee) while the other stays quiet under all circumstances.
While it's more or less annoying there is unfortunately no way to get rid of coil whine once and for all.