No, it shouldn't do that.
IT means that air is leaking into the paint path somewhere. Does it do this as soon as you press the trigger down to start the air before you move the needle? If so, it may mean that the nozzle isn't correctly seated or it may be cracked and allowing air into the paint path.
From the user's guide
•Bubbles in color cup or bottle
•Loose nozzle cap - •Tighten (#2) finger tight
•Improper nozzle to body connection - •See nozzle (#3) to reseat the nozzle
•Cracked or damaged nozzle - •See nozzle (#3) to replace the nozzle