The oil cooler used in AUDI engine is nothing but a water-to-oil heat exchanger. It is located between the engine block and the oil filter. An oil cooler usually has two gaskets- one that connects the oil lines to the cooler, and the other gasket connects the line that returns oil to the motor. Because of the failure of the gasket, various issues pop up. Oil will leak from the adapter and from the engine, if there exists a damaged oil cooler adapter gasket. Consult a reputable AUDI technician and replace the gasket straight away in order to avoid costly repair bills.