A basic speaker is functionally a copper coil next to a permanent magnet. A hard drive head (although I guess more specifically read arm?) is also a copper coil next to a permanent magnet. So if you push an audio signal through the coil, it vibrates and makes sound. It’s missing the diaphram/cone part of the speaker, so it’ll be very tinny.
If you want to make one yourself, get a broken hard drive, and an old pair of headphones, and connect the wires to the coil and play some music.