Yes indeed, the fan blades are loose and rattle in their sockets when the fan is freewheeling in the wind. Once the engine is running, centrifugal forces will make sure they do not rattle any longer.
The base of the fan blades have a shape like a fir tree, and they slide into sockets on the fan disk with a loose fit. When the fan is spinning slowly, they will sit on one side of the socket on the way up, and gravity will pull them into the opposite side on the way down. The rattling is caused by one blade after another falling into that opposite position once they rotate over the top.
Sorry for the bad picture - I could not find a better one right now.
There are concepts to move to bladed disks ("blisks"), but while they are lighter and don't rattle, they are a headache once a single blade is damaged and needs to be replaced. Therefore, the single, easily removable fan blades are the solution of choice in all gas turbines.