Yes it is normal!
However, if you have a front vent on the oven, all of the heat is
extracted through this vent.
Inside this vent is also a burner that kicks on super high heat when
the oven is in self cleaning mode. It runs during normal cooking also
to burn off the smoke that would normally enter the home.
If you do have this vent on your oven, you can use a flexible aluminum
duct to duct the odors to outside during the cleaning cycle.
But for safety reason, this vent tube should also be powered by a fan
at the output end or internally along its route. You do not want to
cause any backpressure whatsoever on the internal oven fan, as higher
heat than the manufacturer designed the oven for could occur.
Our exhaust tube is drafted, meaning the exhaust fan draws cold air
into the tube at or near the oven vent and the cfm of the exhaust fan
is much greater than the internal oven fan. The draft vent near the
oven vent allows room air into the exhaust tube without creating a
negative pressure in the oven itself.
Sounds complicated but it really isn't. My old house was designed
with this temporary exhaust vent in mind, thus mine was made rigid and
the exhaust fan permanently mounted in the wall. Everything just
clicked together so to speak and anytime the oven was turned to self
clean, the exhaust fan would also turn on, whether or not the duct was
affixed to it or not.