'Tis caused by pressure waves bouncing back and forwards within the exhaust because the motor relies upon back pressure for exhaust valve scavenging to make for an efficient burn of the fuel. Shutting the throttle upsets the delicate balance and the noise is caused by the shock waves going to and fro making the metal go P'ting!!! in sympathy. Goes some way toward explaining the relatively short engine life of the two stroke motor when compared to the four stroke which needs far less frequent piston replacement and or cylinder re-bores.
The four stroke with its valve arrangement does not have this problem but using the piston itself as a valve in a two stroke does mean it is almost impossible to maintain a constant throttle setting and get even running as engine load varies with terrain so far greater rider involvement is needed to ride smoothly.
I recall a TS250ER with a Micron exhaust tail pipe which would run for some time on the over run completely silently then at apparently completely random intervals would expel a sharp retort as the pressure waves generated resulted in an explosion of a build up of unburned gasses. The heavy and bulky standard tail pipe had sufficient internal capacity to contain the volume of gases going to and fro while avoiding a build up of pressure such as that which resulted in such a backfire from the neater, smaller, lighter Micron which yielded more Bhp at higher revs by forfeiting low down torque.
The CRM250 has a throttle controlled power valve which manages to minimise uneven running providing the rider wants to accelerate. The same problems result after throttle shutdown but the way the power valve helps by varying the size of the exhaust valve does mitigate the effect to a degree unappreciated by anyone who has not ridden an older machine lacking such finesse.