This has happened to me twice! It's a soft continuous beep, beep, beep, like the seatbelt warning or lights on warning. It is not the beep, beep, beep of pressing the lock button on the key and it is not the factory installed alarm.
I have also had the alarm go off twice; once when I test drove and one other time. It is very loud and not at all like the 'key left in' beep that the original poster described.
Suze