I had this happen several times with the Warn and Milemarker locking hubs. First make sure the hub is turned all the way to lock. Partial engagement will cause problems. If that's not it, pull the hub and look for an unlocked internal snap ring, allowing the inner hub drive to fall inward, partially engaging the hub splines, making a whining sound..... I believe it's in the rear of the larger, inner aluminum splined hub, and around 3" in diameter. I've had it come out several times on two different sets, and after a call to Dynatrac, I ended up cutting the groove the snap ring snaps in just a fraction wider, allowing the ring to seat properly.
I broke a hub in my '03 a few weeks ago, and it made the same noise. I stripped the splines off the inner, aluminum locking hub that slides inward and outward to lock it in and out of gear. Parts are here, I just haven't needed it yet, nor had time.....
There's a potential that it could be the wheel speed sensor, but if it was touching the tone ring, it wouldn't take long for it to get destroyed and the ABS light should come on in the dash, so I'd look at the locking hub, first.