They do:
http://en.wikipedia.org/wiki/BMW_xDrive
They also tried it in the '80's.
BMW's "USP" or at least their area of marketing focus is rear-wheel-drive cars for people who like to drive, whereas Audi's focus is quattro, following their rallying heritage. That probably explains the focus - just marketing really.
Why would people in the UK need 4x4 in their car anyway? I live in a fairly remote location and have never got stuck. The right tyres makes more of a difference IMHO (otherwise scandanavian cars would all be 4x4 and they're not).