They do it for several reasons. When my Charlie first came to live with us he would do it at night when he was lonely. I never could figure out if he was looking for another chinchilla in the house or calling for me, but either way he would always be very happy to see me if I came in when he was calling. He and I are very closely bonded. Once he settled in and got comfortable he stopped. The other night my son had a bad dream and came to get in bed with me. This is the first time he has done this since Charlie came to live with us. I think Charlie didn't know who he was and from the moment he walked in Charlie started yelling. I had to go over and talk to him to get him to stop.
So, long story short he is either lonely or afraid of something...