Our little boy chin (four months old) makes a soft "mmm, mm,mmm" when he plays sometimes. My daughter answers with her own little chirp and he seems to like it, jumping onto her lap and her shoulder. When our little Sir was new, he made that noise whenever his Mum was out of the hutch for lap time. It seems to be the way he reassures himself that he is not alone, and we are near.
Chinchillas make any number of noises at different ages. Our little Mother makes all kinds of noises throughout the day and night, chirping, barking, 'quacking' I put it down to them communicating, as other pets who have voices do.
When He was just a tiny Kit, he made noises much more than now. And I do miss having him call me from his hutch to play or skritch him.
So, I guess the short answer is , yes, they make noises, and No it doesn't always mean they are scared or unhappy..
Sometimes they are just saying "Marco" waiting for someone to say "Polo"
The more I learn, the more I realize how little I know