Thanks to everyone for their input.

After some inspection it appears that the air bag may be the problem.

It filled up this morning but deflated in less than a quarter of a mile.
Replacing the air bag does not look like too difficult job according to the Bentley Manual.

Add that to the list of repairs. 204,000 miles. I'm not too upset.

Thanks again.

UPDATE:
After I put everything back together, ordered left and right air springs and posted the message above I drive down and filled up the fuel tank. The air spring fills up when I started the car and it was fine while I filled up the tank. It was fine for the next 10 miles as I head into town. One mile from my destination the error mesage comes on and the air spring slowly deflates.

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'04 X5 4.4i