I assume the car is new to you ? Are you in the US with a US-market Z4 ?
By year and model your stock headlights should be Xenon HID - and the high beam is achieved by a solenoid-activated shutter dropping out of the way. So you should only have one of the two projectors lit up - the other one in each lamp assembly is a dummy. There are several good threads on this board about this and related - and try Google searches too. If high beam truly doesn't work when the car is pointed at a wall or garage door, then shutter operation is at fault, but there will always only be one light lit.
If the light on one side is not lit at all, do you have a bulb error light on your dash ? If the light is intermittent, then the bulb could be poorly seated, approaching final failure, or the ballast for the HID lamp could be going. You can access the lamps through removable panels in the wheel arches - but it's best to have a wheel removed or wheels turned to give better access. Read as many threads on the site as you can and then have a go at it. To get more help from the forum members, collect a bit more information and post back so that members can better understand your root problem.