In UTF-8 it's actually 6 digit (or 3 byte).
$ echo -e "\x00\xc3\xa6"
æ
:-)
To check how it's encoded by you console, you can use hexdump.
$ echo -n æ | hexdump
0000000 c3 a6
0000002
http://stackoverflow.com/questions/602912/how-do-you-echo-a-4-digit-unicode-character-in-bash