Is this new? I used to have the same thing on my E36 328i, but I don't recall if I ever did anything to change that or whether it ever went away. Check under the hood to ensure that the brake fluid reservoir cap is on tight.
Is there a lot of play on the brake pedal, or is it pretty stiff? Stiff is good. Spongy brakes are a sign of air in the system, which is fixed by flushing/replacing/bleeding brake fluid, but I may be looking at this whole thing from the wrong point of view :dunno