There might be several causes for this:
1: Background playing of BIK files have been known to cause GPU load, for instance I had it in both Medieval and Empire TW before disabling the videos.
Solution: Allow to either disable menu videos or delete them, and fall back to a static image. If you delete the video now the screen just flashes red+yellow
2: No framerate cap on the menu and loadscreen, causing the GPU to think "WAHEY I CAN OUTPUT 250 FPS LETS START THE FANS!"
Solution: Let the default FPS cap of 62 also apply to menus and loadscreens.