That sound is "turbo bark" or compressor surge. Its the excess pressurized air from letting off the throttle surging backwards through your turbo. It is completely normal, however some would argue its not very good for your turbo as it hastily slows down the compressor wheel. You can mitigate this by easing off the throttle or installing a blow off valve, depending on the blow off valve, it could be much louder than this surge.
Example clips: