I have experienced a few models of BMWs where the lights are staying on — even when the car is shut off.
This will, of course, cause a drain and eventually damage the battery. Moving the light switch to the OFF position has no affect. This issue is apparent on multiple BMWs, but the main models it affects is the E65/66, and E60/61.
Normally there are no faults for this issue. I suggest to put the light switch into off and unplug the ride height sensors one at a time until the lights turn off. Whichever one you unplug and the lights turn off that is the one that has shorted and is causing the light module to crash.
Replacing the ride height sensor fixes the issue. Also, be aware that the E61 has air ride and will have 3 ride height sensors. Two on the rear and one on the right front lower control arm. Too many people replace light modules for this issue which is quite expensive in comparison to the cost of the ride height sensor.