After looking on google I found a way to get the sound!
Main step : you just need to replace openal.so in the ut2004/System directory!
Normally you should have OpenAL installed, if not, try to install it via apt-get. You should have libopenal.so.1 or something like that in the /usr/lib/ directory.
If you do, just copy it in the ut2004/System directory :
sudo cp /usr/lib/libopenal.so.1 /path/to/ut2004/System/openal.so
And launch the game.
If you don't have libopenal.so.1, go on packages.debian.org and download it manually the .deb file "openal1" and extract it (using dpkg -x file.deb /path/to/ut2004/System/openal.so) .
Just launch the game and you should get the sound!