I'm having the EXACT same problem. The "door open" keeps lighting up on the dash and the interior lights turn on as if I've opened the door, all for no reason. Just tonight, I parked my car and while walking away the alarm went off. As did you I double and triple checked ALL my doors and hatch gates to make sure they were secured! I even inspected the latch mechanisms with a flashlight to see if there wasn't any debris lodged in them. Have you resolved your issue yet, sdogg? If so, what did the dealer say?

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2005 X5 4.4i with SP, PP, CW, RC, Prem Sound, DVD Nav, Comfort Seats, Style 87 Wheels, Alum Running Boards, Sirius Sat, 6-cd Changer.