[Saudade]

Your entry system likely ties into the door switches (maybe through the interior lights). If it senses voltage without unlocking with the remotes, it fires off the alarm.

Usually, you can disable the feature (I can on my aftermarket), or set the valet switch before you lock up which will stop the alarm from going off.

You're now going to ask, "So how do I do that?". Sorry I don't have anything that covers that.