Both my wife's 2011 335is and my 2006 Z4 M Roadster behave the same way. We noticed this when the 335is was brand new (although not with the European nozzles). When I fill the M Roadster I squeeze the nozzle, engage the hold-open clip, and then grab the rubber hose where it enters the nozzle and hold it up. This works every time.
BTW, BMW is not the only manufacturer with this problem. Try Googling "gas nozzle". It will auto-suggest "gas nozzle keeps shutting off". Select that and you'll find complaints from owners of many different makes and models.
P.S. There is no reason why leaving the fob in the slot would make any difference whatsoever. This is called "superstitious behavior", when a particular action apparently achieves a particular result, so it's believed that the result is achieved only by that action, even though the two are completely unrelated. It's probably just coincidental.
Last edited by SD Z4MR; 12-27-2012 at 11:19 AM.