if its after 2005 where you just need the square plip to pop in the dash folk steal them via obd...
i have the early e61[estate] a 2004 car it uses a normal key and is supposedly a little harder to steal...after 2004 they used the plip to pop in and start the car

a way around obd related theft it is to disconnect main wire from obd much further up from the plug and put a hidden switch somewhere-so if you need to plug car in for diagnosis you just flick the switch or reconnect wire

you could also reposition the obd port elsewher in the car...