This is an issue with Volkswagen's coolant, known as G12. The coolant expands and contracts excessively with temperature change. It works wonderfully at doing its job, but it also causes the temp light to flash in cold weather because the full level of coolant shrinks to below the normal level.
This has been an issue for 10+ years in nearly all VW products that are filled with G12. The only way to avoid the flashing temp light is to *slightly* overfill the G12 reservoir. This will allow the sensor to still detect a full tank-o-G12 even on cold days when the fluid contracts.
It's a pain. I usually have to add just a drop of G12 every Winter to keep the light off in my '03. I've seen numerous posts in every forum. But G12 does its job, so I don't complain.