How do the bearings feel when you have the wheels out and you spin the axles by hand? They should feel nearly completely smooth. If there's any grittiness, they're probably adjusted too tight. This wouldn't normally create the sound you're hearing, but strange things do sometimes happen. The fact that the sound is there when you coast indicates that it's not in the drivetrain, and has to be something that continues to spin (like brakes or axles).
Can you confirm that the sound doesn't change at all when you transition from power to coasting?