I've complained, and posted about this. BMW added this "feature" in 2004 to the X5 models only. I HATE it.

Even if you turn the climate control completely off, and the car sits for more than 30 mins or so, upon restarting the climate control will go to fan speed 1 or (but not Auto). BMW thinks we need this. It cannot be disabled, and will always happen, regardless of what key fob you use, or what you save in regards to Memory settings.

And again, this is only the X5...no other BMW model does this. Really stupid, IMO.