This is called "damper resonance", and is intentional. The digital piano is simulating the sound that an acoustic grand piano makes when the damper pedal is pressed, and the damper is raised from the strings.
On the PX-5S, if the damper noise is not desired, then it can be turned off.
Some other recent models (e.g. PX-150, PX-350, PX-750, PX-780, PX-850) also have the damper resonance simulator with certain tones, but do not have the ability to disable it.