it's because your oscillator isn't getting it's phase reset at the note on. Like they said above, raising the attack will hide this, but it's good to know why too. If it's a sample of a sine wave you are using, put the start at the zero-crossing point. If its some kind of synth you are using, look for an oscillator phase sync, or reset phase on trigger feature. You want the sine wave to start at zero (the center) like this:
http://www.personal.psu.edu/sul168/images/Sine wave.png
If it does not start at zero, then you have a sudden rise (or fall), which produces the click. Its adding overtones at the very start. You'll notice that a LPF with the cutoff set just above the sine waves frequency will help a lot on removing the click too, but starting the wave at zero is the correct way, if possible.