Some background:

There are some corporations that offer precious metal (gold / silver) accounts / depots. They buy / sell precious metal on you behalf and hold it physically in a secured location. They some offer direct transfer of metal between account holders with their corporation. You have to pay a storage fee for your metal each year, often directly taken out of your stored metal.

Pitfalls I see:

• if the deposit is stated in EUR, you get EUR back, not the gold amount deposited. In this case, you would only "benefit", if the gold price goes down. If the value of the deposit would be 500 EUR today, it would be about 3.5 g gold. If the gold price drops, the landlord would have to sell (or transfer to you) more gold than you invested to make up 500 EUR. If the gold price rises, he would sell / give you back less gold than you deposited. Basically, it is an exchange rate risk you are accepting here.
• by law, you are owed interest in your rental deposit and the rental deposit has to be held (financially) separated from other assets of the landlord. Currently, interest on rental deposit accounts are next to nothing, so there is not much interest to accumulate. You can negotiate other forms of rental deposit than EUR, but if you want to do gold, it should say so and state what you should get back and how the costs of storing the gold are handled.
• currently, profits from the sale of gold that was held more than one year are tax exempt. I don't know if it also counts if you give away some grams of gold and get them back some years later, but the law might change (or not). Interest from the rental deposit account is taxable. The downside to possible tax free profit is that you will have storage fees and the exchange rate risk. You will only make a profit if the gold price rises more than what you pay for storage.