Hi. It is a clip on the heat shield that holds the gear cables in place. Mine fell off too one morning. You can easily drive without it. I kept mine and asked the dealer to put it back on, when I went for 45000 km service.
You can see on the picture attached of the heat shield, where it is positioned. My heat shield was changed on warranty, because the mounts broke. A common known problem here in Denmark. Mine was the third they replaced that day. The new one should be stronger.