Taken from TDI club website

Fred's TDI Page. TDIClub.com. VW TDI Enthusiast Community

7. Q: My radiator fan started running loudly when I {turned off the engine or got off the highway onto surface streets or stopped at a light}. What's that about?
A: Your car was in the middle of regenerating the Diesel Particulate Filter (see Q4, above). The DPF gets very hot in this process. When your road speed drops too low to provide the required cooling, your fan turns on. When idling, you may also notice that your idle speed increases slightly to 900 RPM. You can prolly learn more than you ever wanted to know about DPFs and regens by reading these two threads: