Not Z4 related, but on the wife's Golf we had very similar issues, car was fine for miles and miles then had low coolant. Topped up and same story. I couldn't for the life of me find any water or wet patches.
Got it pressure tested and it turned out it was a join between the hose to the expansion bottle. It was leaking slightly under pressure. I put on a new clip, no help, new hose (which I had to make up with silicone as VW don't do that hose any more), no help, turns out the expansion bottle was deformed and cold no longer seal. Bought the wrong bottle, but when I fitted a new one, all was good.
Until Monday when the alternator packed in..