When a switch is close to closing there’s a small electrical arc. Kind of like lightning, jumping between the contacts.
This isn’t good. It causes heating, wear and is a fire hazard.
So most switches are spring loaded to force th contacts to close very quickly, thereby limiting the time that an arc can form.
The click will be the spring coming in to action.
Some small electronics have a latch, rather than a spring for arc reasons. The latch is just to keep it on/off, kind of similar to a clicky pen. It probably does still have a spring in it as part of the latch but the reason for it is slightly different than from arc protection.
The best way to make or break an electrical contact is with a mechanical switch that physically breaks the connection. They’re clicky for reasons other explained.
If you don’t need the physical disconnection you can use a transistor or a Solid State Relay. Those are less safe in some ways but have advantages like working much faster, not wearing out and not clicking.
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