Find My iPhone shows my Macbook as Online although it's in Sleep mode
Yes this is normal. Nothing to worry about.

It part of Power Nap, which was introduces in MacOSX Mountain Lion (10.8). When your Mac is asleep the following features will run as your Mac gently snoozes:


Contacts. Your Contacts update with any changes you may have made on another device.
Calendar. Receive new invitations and calendar updates.
Reminders. Reminders updates with any changes you may have made on another device.
Notes. Notes updates with any changes you may have made on another device.
Documents in your iCloud account. iCloud pushes any edits you made to a document to your Mac notebook.
Photo Stream. Your Photo Stream updates with new photos from your iPhone, iPad, or iPod touch.
Mac App Store updates. Your Mac notebook can download updates from the Mac App Store.
Time Machine backup. Your Mac notebook can back up while it sleeps.
Find My Mac. Locate a lost Mac notebook even when it’s sleeping.
VPN on demand. Corporate email updates securely.
Configuration profile. Macs in managed environments can receive configuration profile updates.


These all run regardless of whether the notbook is plugged in or not, which is impressive as regards power use. Power Nap might look like a little bullet point on the Mountain Lion spec sheet, but it really is a big deal, especially for those non power users (aka. Normals) who never bother with updates and the like. And the sleepy Find My Mac feature is just plain magic.

Source: https://support.apple.com/en-us/HT204032