Just for fun some bash:

    for k in $(seq -f %04.f 1 501); do 
        f="${k}_A.csv"
        ! [[ -f "$f" ]] && echo $f || :
    done

or more succinctly,

    for k in {0001..0501}_A.csv; do
        ! [[ -f "$f" ]] && echo $f || :
    done

and if you have GNU parallel installed:

    parallel -kj1 '! [[ -f "{}" ]] && echo {} || :' ::: {0001..0501}_A.csv