I replace my water pump on my 2004 audi a4, the air come out but blows cold air what could it be

you lost a lot of antifreeze when you replaced the pump. make sure the system is full, and all the air is out of it. If your system was working fine before the pump, that is likely what it is.

not a audi owner but it is a good general practice to replace the thermostat they get pretty hot when the pump goes and usually will stick open trying to let max water to the block

Both of those guys make excellent points. While I was looking for a heater hose routing for you car, to show you where hoses are supposed to be in case you accidentally got them swapped...I came across a website that claims to have the perfect answer to your question..but beware, they want a credit card number, claim they will not charge anything to it, a bunch of double-talk nonsense. https://www.tailplay.net/audi_a4 ..avoid it reeks of scam

I can help you solve this issue quick and easy. All audis have pressurized systems. Like all pressurized systems if there is air bubbles in it it does not function correctly. For some reason every time you take a vw or audi in for rad repair or pump replacement they forget to bleed your system. I am providing you with a picture That will show you the general location of the bleeder valve. BE carefull using the valve use only the proper tight fitting hex tool in it or you will never get it off again. To properly bleed your stem the car has to be running. Turn your heater to full heat and full blast. Crank open the bleeder valve and wait for all the bubbles to come out. You may have to bleed it twice to get it done properly. You can also take it to the vw dealer and tell them do do this for you since they neglected to do it while it was in for service if thats where you had the work done.I never trust my audi to the average joe blow mechanic because vw's and audis are alot more complicated then the average gm or ford car.