Audi also told me that it could not be done, i got the impression that they are not aware that it is possible.
Your central locking pump does have the RF receiver, you just have to use VAG-COM or dealer equipment to alter the central locking code to one that enables 'Keyless Entry'. (see Rosstech website, B5 A4 info)
The decimal code is read by the car as binary, and is just a series of on/off switches for the various locking options, so various numbers can have the exact same result.
For a B5 A4 your base central locking code depends on age (pre98/post98), stereo type, and whether alarm & remote locking are enabled.
You then add or subtract from this number to enable/disable advanced locking features.
My current central locking code is: 12232
Which is for pre98 A4 with Delta stereo, alarm and remote locking + one touch + windows etc on remote.
Courtesy of Rosstech:
35-Central Locks: -- KWP-1281
VAG-COM Works fine (note: pre-'97 A4's may not have this module).Recode locking options
[Select]
[35 - Cent. Locks]
[Recode - 07]
Enter the coding below
[Do It!]
Write down the existing coding for future reference.
A4 pre-1998 with Delta radio and anti-theft system
Standard Coding: 03468
A4 pre-1998 with Delta radio, anti-theft system and keyless entry
Standard Coding: 12172
A4 1998+ with Concert/Symphony radio and anti-theft system
Standard Coding: 03340
S4, A4 1998+ with Concert/Symphony radio, anti-theft system and keyless entry
Standard Coding: 16140
Add the following options to your coding number:
+64 Windows up, sunroof close, and windows down with remote.
-04 One touch unlock of all 4 doors and trunk
-1024 Remove horn honk when arming
+32 Auto lock/unlock of doors (Doors lock at 15 mph and unlock when key is removed)
So, if you want to have a 1999 A4 with Concert radio and anti-theft system and keyless entry, and you want to add window control with the remote along with auto-lock, then:
add 03340+64+32= 03436
The basecode decoder is handy for generating the correct code for your central locking:
http://www.kevin-st.co.uk/tt/BaseCode/Basecode.zip