I reported this the other week to my dealer - they decided it was normal. For me it does it as I go fwd/bwd with full lock and it is the Quattro system 'unwinding' as the full lock winds it up... Knowing how the Quattro works this was already my suspicion but it was good to have it confirmed.
Is yours a clunk when stationary? In which case, probably not the same thing and needs checking. Probably heat shield - many people have had it.