I also have a indicator on the dash that is a circle with a cross through it. I have checked the rear lights and all bulbs are lit. Both turn signals look to be operating normal from the outside of the vehicle.
This is an 2011 Audi A3 TDI.

 

check the bulbs one of will be burned

 

Not so easy as that. I've checked everything at least 3 or 4 times. My wife has gone around and around the car as well, NOTHING. Every thing looks great, and works great. I went on a 40 min. freeway drive to test out when the warning appears on the dash, and apparently it is activated by the brake pedal. It could also be activated by the lt. turn signal, but I will try that tomorrow.