Chinchillas tend to protect their family (you are a part of their family) and will warn them (you) of danger ... this is what they are doing for you ... warning you of the unknown noises they hear.
To a chinchilla, any new and unknown sounds make them very uneasy and sometimes even afraid. It might be worth a restless night to stay in the room with them, move them closer to you, turn on some very soft music and assure them, that everything is OK. Chinchillas are pretty smart ... they will soon learn what sounds are 'normal' for their new home and which ones that are not normal.
We have to remember, chinchillas are like children, they look to you for comfort and reassurance, just like a child would do ... in return, once they become accustom to the new sounds, then any unusual sound they may hear in the future, they will let you know that something is going on that normally does not.
I remember several years ago of a member's chin alerting them when a person was trying to break into the house and another time of a chin alerting the family of a fire.
Never underestimate the chinchilla!
Jo Ann