It doesn't actually say this in the Highway Code.
All it does say (in Rule 219, Emergency and Incident Support Vehicles) is, "[y]ou should look and listen for ambulances, fire engines, police, doctors or other emergency vehicles using flashing blue, red or green lights and sirens or flashing headlights ... "
There is enough evidence elsewhere on the Internet to convince me that it's true however, and this seemed to be the best place to put it.
© Haydn Thompson 2018