What kind of filter? Some people have recently reported problems with non-OE filter kit o-rings not being quite the right size and causing leaks. Just to check, I'd try a real BMW one from the dealer next time and see if it seals up better.
I've not had the problem with Mahle or Mann boxed filter kits, but it might be worth trying a BMW boxed one just in case.
E38 2000 740iL Orient Blue
E91 2012 328xiT Alpine White
Passed on to new families:
E30 1987 325i Royal Blue
E39 2003 540i/6 Sterling Gray
R56 2010 Mini Cooper S British Racing Green