1993 Audi 90S

Either side of the engine block, there are long, thin (I'd say 5mm)
metal pipes that come from the back of the engine somewhere, to the
front, and stop.
They're capped with tight fitting rubber stoppers.

Someone suggested they may be part of the EGR system?

The problem is, that I noticed the rubber stopper on the left side had
cracked and falled away. When the engine was running, *very* hot air was
being forced out of there. It smelt a little like exhaust.

I went to the local auto parts store, got a generic replacement and
capped it off again, but a week later I saw that the cap I put on was
gone too!