I'm starting to think it might be this thing:
2002 Audi A4 alarm siren unit 8L0 951 605 02 03 04 05 | eBay

wonder where that is...?

 

looks more like what you need. Possibly behind the rear bumper? Ill take mine off today and check

 

I'm having a heck of a time finding it... all the instructions I've found are for the sedan, and the trunk layout seems different in an Avant. I pulled out the central locking pump, but I don't see this siren unit there. I pulled out the CD changer with similar results. I suppose I could always try pulling out the subwoofer enclosure, but that seems like an awful lot of work if it turns out not to be there either. However according to the sedan diagrams I've found, there is a good chance it's back there.

 

i don't see why it would be on the inside of the car. The sound would be reduced being inside a car with all the windows rolled up. It makes more sense the sire is outside.

 

Seriously? You really believe Audi does things that "make sense"?



I did find this part deep behind the CD changer. It's a metal horn and looks nothing like the plastic casing I've read about in other posts.

Those damn batteries have to go somewhere... everyone's pretty unilateral in the fact that they exist, and the inop alarm horn is indicative of their death.

 

turns out I was completely wrong. There IS no battery-backup anywhere on my car. My problem all along was caused by a bad hood sensor switch. How amazingly annoying.

Anyways, problem solved now. Guess I ordered those damn expensive batteries for nothing,