Why do I hear a "blip" at the end of an audio clip of a sinusoid?
There's still the first derivative discontinuity. That gives a blip with a -12 dB/octave decaying spectrum. It's less audible (because it has less high frequencies) than the -6 dB/octave decaying spectrum of a proper discontinuity, but still audible, especially with a subwoofer... 

Do a (long enough a) fade out like Fat32 says and there will be no audible click.