A hearing aid system includes a first (1) and a second (11) hearing aid, each having link means for establishing a short-range wireless connection (20) between the first and the second hearing aid. At least the first hearing aid has means to monitor whether the link to the second hearing aid is active and alert means to issue an alert based on a condition of the link or on a condition of the second hearing aid. The alert can be a spoken message, a visual indicator, or a message sent to an external unit (30). The invention further provides a method to issue an alarm in a first hearing aid.