Modems also make noises when connected. However, the noise of them connecting is more distinctive because they go through a handshake where you can hear distinct tones, but then negotiate a higher baud rate involving modulation of many different frequencies, at which point to the human ear it is indistinguishable from white noise (a sort of loud hissing). If you pick up the phone while the modem is connected at a higher baud rate (post the handshake), you'll hear the hissing, and then eventually you picking up the phone will have caused too many errors for the connection to be sustained (due to introducing noise on the line), causing both ends to hang up. You'll then hear the normal tone you hear when the called party has hung up the line.

Modems can still make noise. As recently as five years ago I still had to work with modems. A lot of them now have silent mode though