How do you know that?
If they are illegal then they are not ticketing all those BMWs, MBs, Volvo's, Jag's, that have and use them. I had a MBML430 and it came standard with a single rear fog light (red) and I used it sometimes when it was very foggy.
Interesting petition -
http://www.petitiononline.com/BMWfogs/petition.html