My 06 330xi has the same problem. When temps fall below -10 degrees celcius, the light always goes on which is kinda annoying. Brought this up numerous times at the dealer, and they said its normal under extreme cold temps. When i do a "check diagnostics" through the i-drive, systems always check ok.
It was -16 degrees celcius this morning and to no surprise, the CEL came on. Kinda annoying but im used to it now.