We just inherited a IIRC 2011? Ford Explorer. Right before we got it it was serviced (and some brake work done), so it should have been inspected. When it’s turned off, there are several loud clicks coming from somewhere in the dash area. My husband says it doesn’t do it if he isn’t running the air.
Is it definitely the air? Should they have noticed something when it was serviced? In other words should we complain, or should we just get it checked out?
Does the AC work correctly? Come on, cool, maintain a temperature, direct the flow out the vents you’ve selected?
It’s probably a stuck blend door.
Look unde the dash, focusing on the ductwork, and see if you can see a motor or actuator moving when this happens.
I haven’t noticed any issues with the AC but I’ve only driven it short distances since we got it. My husband has driven it more but I trust my judgment and recall better. 
AC uses both high power (electrical elements) and vanes/flaps in the ducting to direct the air flow. Either relays or flap actuators could make thumps or clicks, completely normally.
I had several cars that used the old vacuum-actuator flap controls, and they would hiss, wheeze, sigh, thump and make all kinds of weird noise. I think all current flaps are electrically actuated but some of that would be the same.
The relay that controls the AC compressor clutch, which cuts the compressor in and out from the engine drive belt as needed, can cause a relatively loud click, and the clutch itself can make a thump or noticeable “bump” in engine RPM when it actuates.
It’s probably worth having a shop look at it, but if you know all these things are normal, you might be less prone to being suckered into unnecessary service…
Your engine can generate vacuum (suction) which is commonly used to actuate various air doors in the heater/AC system. There are usually 1-way check valves to keep these doors in the set AC position when the engine is turned off and the vacuum goes away. It may be that some check valve has failed or a vacuum hose has a slight leak, causing the doors to “clunk” back to their default position. If the system works OK and you can’t hear an obvious …ssssss… leak I wouldn’t worry about it. It might be worth visiting a mechanic for an opinion but fixing heater noises could get very expensive and be unnecessary.