How long are you waiting? That light stays on until the car electronics go into sleep mode, approximately 15 minutes after turning everything off.
Unlocking or opening the door will wake the electrical system so I would recommend looking through the window without touching anything after 15 or 20 minutes to see.
335xi sedan 6MT, Premium, Cold Weather, iDrive, CA, iPod
Black Sapphire Metallic, Black Leather, Aluminum Trim
European Delivery: April 28 - May 7, 2008
Performance Center Redelivery: July 11, 2008