Are you sure you not talking about the siren that is an add-on to the basic security system. I got my bike with the security system installed and added the siren (audible alarm) after. I believe the actual security system consists of more than one component...Turn Signal Module and ECM (but I could be wrong).
If it is just the siren, it is installed in front of the rear wheel. The wiring harness should already be in place. The siren kit included a new bracket, if the one on your fatboy wasn't already there and a couple of tie-wraps to secure it. I got to it on my Deuce by removing the rear wheel, but I've heard others have added it to the Fatboy with the rear-wheel on. Let us know what year Fatboy you got and which module it is. Like does it have a number or model number on it.
Yup, this is what both the security model and the turn signal module looked like for me. [the security module is integrated into the replacement signal module. They were identical on the outside]
Are you sure you're looking in the right place? The battery is under the seat. The turn signal module is down and back -- behind the plastic "inner fender". I had to open the manual to find it myself.
On my heritage -- two screws just in front of the rear wheel. You gotta get down and dirty to reach it. Once out, the inner fender wiggles up and out of the way. (the real answer is to remove the rear wheel, I suppose, but I didn't have to do that). The turn signal module and some other electronics stuff are on a panel there. The module slips out of a clip, and the electical harness plug right in. If you got a siren there is a pigtail hanging there for it too.
I gotta figure the 01 fatboy and 02 heritage would be the same.
Both the TSSM and the siren go behind a splash shield in front of the rear wheel, while you have the splash shield out have it painted to match the color of the bike, it's a nice finishing touch because it then looks like part of the fender, JMHO. Dave