As the electric current oscillates back and forth at around 70,000
cycles per second in the treatment coil, this current flow also
creates in the space around the coil a strong oscillating electric field.
A second closed electrical conductor path (closed chain loop)
placed in the space around the coil will experience the oscillating
electric field and will have substantial current flow induced in it.
Places in the conductive path where the connections are poor  
(where the chain links touch) become over heated
by the induced electric current flow and sparks are created. 
Because the frequency (70,000 cycles per second) is so high
there is no real danger of electrical  shock.