No alarm - this is normal if bluetooth is on. If you want to turn it off:
Go to Start > Settings, click on Connections tab. Click on Bluetooth and you should see that Bluetooth is on - just click "Turn off" and the flashing blue light should stop flashing.
Don't forget, if you should ever use Bluetooth, you'll need to turn it on. :approve:
Edit: I see I was already beaten by two posters.

(Correction: 3!) :D