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To the OP, as others have pointed out, you have a 5 gal tank and were running out of gas.
My light comes on at 65 km (about 40 miles) DTE and the FUEL LOW indicator at about 16km/10miles DTE. Ran about 25 km once past the FUEL LOW indicator and never had any hesitation.
Ever since I've owner my Ultra, I had this fear that one day I would be 200 miles from home and realize at the gas station that I had left my key at home. And so I replaced the gas cap lock with the HD chrome push button. I no longer worry about that anymore.
My '06 has a five gallon tank on it also, I think. The "low fuel" light comes on around 1/4 tank or after about 150 miles. To me that is a pia and way too soon to have to start looking for a gas station. So I reset the trip meter each time and usually fill up after 200 miles. Hardly ever does it take more than 4 and 1/2 gallons.
Sane thing happened to a buddy I work with. Just keep an eye on your mileage per tank. The warning light/gauge gets your attention but always keep up with your mileage. My fuel light comes on after 150/175 miles and a fill up only uses a little over 3 gallons. Thats why I reset the trip odometer after every fill up and watch the mileage.
Shortly after getting my '09 Ultra Classic I had 196 miles on the first tank of fuel and the fuel gauge was on empty without the low fuel light coming on. Keeping in mind that I had a 6 gallong fuel tank, I thought the low fuel light wasn't working or the fuel gauge was screwed up because I should have gotten a lot more than 196 miles out of a tank of fuel. I was only able to put 4.6 gallons of fuel in the tank.
I don't have a lockable cap on the tank. It's to much trouble getting a ket out every time.
Referring back to the OP - your buddies key will open your fuel door? Are they not keyed like the ignition switch? How many keys are interchangeable on these bikes???
Back in the day, we didnt have guages but we did have reserve and that, in my opinion beats the dog snot out of the new guages but even with a guage, I always start looking for a place to fill up when my guage hits 1/2 a tank.
To answer the OP's question, your guage does not read at exactly empty so chances are that you had a little gas left in your tank and as you turned corners, stopped etc, what little gas had would slosh away from your pick up.
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