US Z4's have them after the headlights removed the amber reflectors, which I believe was in 2005 model year. In 2006, the facelift version has the amber reflector moved to the less conspicuous curve on the front wheel arch, but the M version has a different front bumper, which also has the amber circle reflectors. As others mentioned, this is to comply with a US DOT mandate. Maybe there are a few countries out there that have a similar law in effect.
I fixed mine (2005 3.0i) with a cheap 10 dollar solution from http://www.dansdecals.com. The color (titanium silver metallic) is close, but not a perfect match for my dye lot. It's definitely better than the amber! I plan to fix it for good with the aero front bumper in the next year or two, aero front bumper doesn't have the reflector hole. I'm still waiting for mine to get enough stone chips in it to warrant a new front facade.