Perfectly normal ... with certain limits.
There IS a cooling fan which makes a noise, you can also hear the hard drive if you listen, but the cooling fan shouldn't run flat out all the time.
Make sure the Sky+ box is kept in a well ventilated area, ideally away from other items like DVD players and Home Cinema amps, which make more heat.
The cooler the Sky box, the less noise the fan will make. If the fan keeps going best give Sky a call as the box may be faulty (been there, done that!)