It has something to do with the cooling system, may be low on coolant. Check that first. Whatever you do, don't let the engine overheat, it will cause some expensive damage! I would get this looked at by a good Audi shop, have them diagnose it and if you want to fix it yourself, then do it, but let a professional diagnose it for you.
the coolant sensor triggers this warning when the coolant is low. if you are losing coolant without any signs of an obvious leak you likely have a blown head gasket, or possibly the water valves exiting the heater core are leaking right on top of the left side cats where the coolant would evaporate before you saw an actual leak.