ALOT of mis-information here:
That is the drivers side exhaust flapper that is shut during a cold start. It's purpose it debated, but most believe it is to quiet down the cold start exhaust, or warm up the cats quicker.
If you don't want to hear it rattling anymore, you can disable the flapper by doing the "golf tee mod" (Search the DIY). Reach into your trunk panel on the drivers side, and disconnect the connector. This does throw a shadow code, but it's nothing to worry about at all. If you brought your car into the dealer, this is what they will do anyways to "fix" it.