It's a well-known problem, for which unfortunately there doesn't appear to be a reliable, one-size-fits-all solution, though, see (including lots of suggestions for potential fixes):
https://talk.macpowerusers.com/t/16-macbook-pro-gets-excessi...
https://forums.macrumors.com/threads/2019-16-is-hot-noisy-wi...
https://www.reddit.com/r/apple/comments/f10ip5/how_to_fix_16...
The culprit is the Radeon High Side GPU power consumption rising to 20W when connecting to an external display.
For some configurations, customising the screen refresh rate (using SwitchResX) seems to work, for others it's connecting the external monitor to another port (and / or not charging via the same port), while yet for others none of those suggestions seems to work.