It probably is somewhere around that. Not so much because of the revs but because anything faster will generate far more aerodynamic drag.
I had the same engine in my 5 speed E46 325ti Compact and 70mph was about 3,000rpm in 5th. But over the 23K miles I did in it I averaged 32+mpg which seemed pretty good to me!
But your Z4 is a Sports car so why does economy even matter? :?
I only wish my Z4M was more economical because the fuel tank is so small!