At least the later models are designed to shift at higher rpm for the first 3-4 minutes to help it warm up quicker. I understand it is to lower overall emission levels. Feels a bit like the sport mode. Mine has done it since I have owned it for over 7 years.
1995 525i auto, 1/95 build, EAT chip, abt 236K miles, , HID, Lumbar, Oxford Green/Parchment, rebuilt trany @ 208K