Strange reason for Check Engine Light

So a week after I picked up my certified 2005 A4, the check engine light ( I believe its also called the malfunction indicator light ) comes on. I took it to the dealer and they check it out and give me this reason: Apparently, I was driving with too little gas in the tank ( it was not yet or reserve but close). So when the fluel sloshes around, the fuel pump that sucks the gas from the tank does not get any fuel and sucks a little air. This triggered the CEL.

Anyone ever heard of anything like this?

I suppose it could happen but only if it was out of gas ( personally I think they are talking out of their buttszz ) ask them what the fault code was