Whistle while revving at standstill

I'm having a strange whistling sound from my 2003 Mini Cooper S. Whenever I step on the gas, at a standstill or while moving, there is a whistling sound that rises with the RPMs. When I step on the clutch (or when I take my foot off the gas if it's in neutral) it trails off after a second or two. It sounds like an air sound. Any ideas?

Thanks,

Nick