I was messing around with my rMBP and pressed the space bar. I didn't cause any harm but I don't know if this is normal or not. Here's a video:
YouTube: video
I've heard that before on other computers. I think it's to help wake you up when your head falls down onto the space bar after some beers and late-night gaming.
As others have pointed out, that isn't a hardware sound. Your keyboard isn't making that noise. It's an OS alert sound. These settings can be changed in the Sound preferences pane.