Something weird is going on...that is to say, that's not normal.
I've seen all kinds of weird things happen, including cross-threaded caliper pins, rust on carrier so pads don't slide, and sticky calipers. I'd do a teardown and see if the pins and pads are sliding okay, and then also see if the piston is hanging up badly. If the piston is hanging up, then just get some new ones from bimmerworld along with a rebuild kit.
Either way, you're going to need a new rotor.
2004 M3 - Coupe, 6spd, Silver Grey on Black
2006 Jetta TDI/DSG, Pkg 2, Silver on Black - Sold
2004 M3 SMG - Silver Grey on Black, Convertible - RIP
1995 525I 5spd - Black on Black -Sold
2004 X3 3.0i AT- Blue on Tan - For the wife....