It's the rear diff.
My wife's 2015 CX-5 GT AWD w/ just 6,500 or so miles had a weird clicking noise that I heard in the mall parking lot that was speed dependent and sounded almost like a stone btw the dust shield and one of the rear rotors. I checked everything out and it was OK. Apparently, there was a bad batch of diffs used in the 2014's and were supposedly caught before install into any 2015's. NOT!. My 2015 was the 7th rear diff replaced according to the tech.
Got to admit though, since relocating to a new state/city w/o the mega dealers, who focus on many brands and sales not service, the tiny Mazda only dealer who is just 5 miles from my new house, allowed me to watch them diagnose the problem and promptly replaced the rear diff w/o screwing anything else up and did a full detail inside and out. This is high praise coming from me as I've been an engineer in the auto industry for over 30 years and am very particular about my vehicles. I also had the left passenger lock assy replaced due to it squealing all the time. However, the noise occasionally is heard from the other door locks on the CX-5 and my CX-9 GT AWD w/ only 15,000 miles also occasionally makes this sound also. I guess it's just one of the things that Mazda can't get right. BTW, my pristine one owner 1994 RX7 w/ only 24,000 miles makes no lock noises at all, however, the list of upgrades to many other sub-par components on this car is pretty long.
Guess they just built some better components over 20 years ago! LOL!