Radio problem

2000 A4 1.9TDI Anyone know why, when I leave the radio in the "ON" position (i.e. power button sticking out), when I lock the car, the radio comes back on (very loud) and stays on until the car is unlocked (usually after somebody complains) and the button pushed in. Is this just another Audi "feature"? Only 4 weeks and counting, and the car goes back, never to be replaced by another Audi!!!