Noise in FM radio

That noise exists on AM just as much if not more, it is likely that your receiver has a squelch that is quieting the radio when the signal is below the noise floor.

FM receiver Extracts the audio from Frequency fluctuations which we call frequency modulation. If the Modulation is done by proper modulator and that modulated Carrier is transmitted to your receiver, your receiver will lock on to that carrier and reads the fluctuations and converts them as amplitude fluctuations. When there is no FM signal, No carrier at all, This lock will be opened and the internal frequency locking system randomly jumps between near by frequencies (trying to lock again) which are nothing but the elements of noise with-in its band, obviously, these jumps are converted to random voltage fluctuations which is nothing but NOISE.

Yes, In case Of AM also this Noise will be there, But AM directly reads amplitude but not frequency, It will just see that whether there is some fluctuation in amplitude of frequency in the band of interest or not. If not it will keep quite (but wont try to jump to other frequency), If there is a fluctuation it will give sound.

It is because the FM radio has a very much more sensitive front end. 1 -2uV and the noise is just random noise produced in the electronics. As electrons move in the components they create noise just as the wanted signal creates the wanted sounds.

FM is frequency modulation AM is amplitude modulation Google these. or use wikipedia.

As the Brainwave stated, the noise is from the electronics and how they generate the intermediate frequencies to mix with the incoming signal to make something audible in the human hearing range.