I have the same issue with the headlight warning buzzer not sounding when I turn off the car and remove the keys with the headlights left on. I have a 2004 A6 C5 Quattro 3.0L V6. I love this car and have drained the battery twice. My lights go on when I open the door, so I know that is not the issue. The buzzer works fine for other warnings so I don't think that is it. From time to time the headlight buzzer will sound for a few days but it is intermittent. I have replaced the headlight switch on the dash thinking that may be it (and mine was all scratched up). Still no luck. Any advice or assistance is appreciated!

 

I have a similar issue but with my 2004 A6 C5 I get a "lights left on" warning from time to time but most often I do not. Could it be a stick door sensor or a loose connection? I have no idea where to begin.