Thanks very much for the feedback. Seems as there could be a number of things that could make this sound. I think the only option to start is maybe try changing the transmission fluid and see what happen.

I think I might talk to the dealer when I need to next and get this done.

I had the same noise when changing from 3rd to 4rth gear under load.
It sounded like if I had a turtledove under my car.
Sometimes it lasted half a second and simetimes longer up to 2-3 seconds.
Whenever it lasted longer I could clearly feel kind of a clutch slipping ...like if it took the whole 2-3 secs to get the upper gear in.
When it lasted shorter I had no time to feel the slip but just the little noise.
I think it may be the torque converter because of the slipping feeling.

I had it like that for about 60k miles (from 60k to 120k) till I decided to have transmission fluid and filter changed, then it killed the bird...! :bustingup
No more co-cooing from under my car during the last 5k miles. :thumbup:

BTW, I'm an easygoing driver of a 2004 X5 E53 3.0D facelifting (6 speed automatic transmission).

So, maybe a tranny oil and filter change looks to me like a good idea to start with.