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the problem is almost certianly a failure of the transfer case actuator/motor, which is commonly a gear stripping inside the actuator
it is a very common problem on this model and triggers the warning under various conditions.
other possible causes would be a different failure within the 4x4 system (transfer case itself, sensor that informs the system, etc)
the only way to verify 100% will be to have the fault logs read from the car with a BMW scan tool which can verify the exact underlying cause of the warning light (there are many different things which can trigger this single warning light, as it simply means the 4x4 system is offline).
you can see more about the gear stripping problem here: http://www.instructables.com/id/BMW-X3-X5-X6-Gear-Box-Transfer-Case-Servo-Actuator/ or http://www.turnermotorsport.com/p-177957-transfer-case-actuator-gear-e53-x5-e83-x3.aspx or https://www.youtube.com/watch?v=1NmRe6DbXuY
Please let me know if you have further questions. Please do not forget to click a positive rating as this is the only way I receive credit for my answer, thank you. Best wishes with your vehicle.