The noise that you hear is actually the power supply capacitors "giving up" the stored energy.Its natural and will not destroy your speakers if your amp is not turned too loud but in that case the cross overs in the speakers have their own protection circuits.
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As mentioned above it is your caps in the the amp discharging. I get that with my amp when I power on(caps charging) and power off. Nothing to worry as long it does not sound like a thud and sound more like a whooshing you turn off the downstream equipment first.
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