I believe (someone correct me if I'm wrong) that both sidemarker bulbs have to be out in order to get a bulb out error on the dash. Try putting one back in and seeing if it goes away. Why would you take both of them out anyway?
EDIT: I think you can also turn off the cold diagnostic setting for the sidemarkers via VCDS and the error will go away. Either do that, put the stock bulbs back in, or buy error-free LEDs. Search eBay for "CAN BUS 194 LED".