Never heard of fans that do that but there are cathode controllers that respond to sound, although I've never looked into whether they are fed a sound signal from your soundcard or respond to actual sound. It might be possible to modify one of these cathode controllers to output to LEDs rather than a cathode but you may need to get busy with a soldering iron, resistors and transistors to make this vision a reality.
Building a circuit to respond to audio shouldn't be too difficult and as you are working with LEDs you could even have differeing levels of light for differing sound levels and even different colours if you are using RGB LEDs and are very clever.
Nice project if you do it.