How loud is the noise? If it's really loud, that could indicate a mechanical problem. But the reason I ask is because:
My T-5 used to be quiet. That is until I put on an aftermarket shifter (aluminum base.) At that point there was a faint, but noticable, gear whine in certain situations when I would drive around.
I also noticed the faint whine when in put my shifter on aswell and so did my brother. Especially in 3rd gear. I dont think there is anything to worry about. Check fluids...Do you have stock gears, stock shifter? good luck.