If the car has a viscous coupled centre diff, like the haldex setup used in the golf/a3, running tyres that are unevenly matched could cause the fluid in the viscous coupling to overheat. This was quite a common issue with the 4x4 system in Vauxhall Cavalier and Calibras, although i'd expect a modern system like the haldex setup to react better to this.
The A4 quattro system however uses a proper differential in the centre, and wont be affected by differences in tyre tread depth.
Also, while on this topic, you should always have your grippiest (ie newest/most tread) tyres on the rear of the car.