You dont say whether they stayed "on" or were flashing continually.
My money is on the relay under behind the glove box. There are a number of them which you can only really get to by removing the glove box as they are tucked away up in the left hand corner.
The one in question is small and grey. You may find that there are two rows of relays, needless to say its in the upper row - and the easy way to get to it is remove the bottom row - the whole thing will unclip without removing any of the relays from the bottom row.
Over a period of years the relays become very tight - so a bit of persuasion will be required - but be careful about using anything metal to prise them out for obvious reasons!
If removing the relay cures the problem you could actually leave it out, as its only function is to flash the indicators when the car is locked/unlocked (with the remote) and when the alarm goes off.
HTH ........ Rob