Some times an alarm can become un attached with the locking of a car, ie. when you lock the car the alarm doesn't set and when the car is un-locked the alarm is armed, usually what's happened is the car has been locked by the key alone and no alarm button pressed or opened by the key and no alarm turned off.
Best thing to do is open the d/s window, stand out side the car, lock the car with the key and press the button for the alarm and see what happens, ie. does the alarm set etc, after 3 mins or so if the alarm does not go off wave your arm through the open window and see what happens. They could be out of sync. You just have to get them in sync again.
See how you get on.