I too have this problem in a 2001 4.4i X5 - I purchased mine with 80K miles. Low Coolant all of the time. The searching I did here points to the Coolant Reserve Tank. Yours is probably cracked. I don't have fluid anywhere (leaking out) either, but I do smeel coolant. The car looks and drives like new, but I hate that error. One of these days I will bring it to a shop for the repair.

Do a search on the coolant reserve tanks cracking...

p.s.
Next mod, crack open the headlights and ger rid of those wafers!!! (if you have HID)