Yes, this is one of the little things not mentioned much. I bloodied my hands trying to get my original radio out using the keys. The rings on those little keys are sharp! The way I finally budged it is by sticking a couple of screwdrivers through the rings on two of the keys at a time (diagonally) and pulling really hard.
With mine, the top right key wouldn't lock, so pulling on it, just resulted in it coming out. I got mine out by pulling the top left and bottom right like AudiA4B6US said, "slow, constant [but really hard], left then right..." Also, as I said, using bare fingers on the rings is painful and futile. Either put on some leather gloves, or stick something through the rings that you can pull on less painfully.
One more idea - while a bit more time consuming, its pretty easy to remove the glove box (9 screws holding it in) and then just reach to the back of the radio and push it out (with the radio removal tools inserted, of course).
I had the same problem with one of the tools pulling right out...so i took the extra 5 minutes and made this a simple, blood-free job!
Seems like many have troubles with the top right key. I found that if I put it in all the way to the "click" it would just pop out when I pulled really hard. I ended up pushing it in to just BEFORE the click and that seemed to disengage. I had already got the left side to come out a very slight amount without too much trouble. Getting the radio out was the hardest part in the entire RNS-E upgrade.
I am so glad that this is common, I was beginnning to doubt my abilities on working on an Audi Plug and Play installation...
I will try both the push before the click and the screwdriver through the keys method starting on left and moving to right and left the right, etc; and if I get any resistance will move to the push from behind option.
you might want to remove the knee bolster or/and the glove box... both are really easy to remove and once removed you'll be able to push the unit from the back (keys still need to be inserted)... that's how i remove head units nowadays...
Removing the glove box and knee bolster does help a little, but if he is having the upper right key not disengaging like I did, no amount of force from the back was going to budge the radio. Not sure the internal anatomy of the A4, but in my RS6, I could barely access behind the radio so pushing from behing was not really an option - even with the glovebox and knee bolster out. I had read somewhere on a previous post about pushing the key only part in and that did the trick.