When I turn off the ignition interior lights always come on automatically. I have ambient lighting, but I don't think this has anything to do with it. When you turn off the ignition are your lights set to Auto? Also try switching welcome lights on - they're on in my case (not sure whether related).
Update: Also check whether courtesy delay function is set to a value > 0 secs.
Update 2: One more variable - I also have DRL turned on - from what I read on another forum the interior lights come on on ignition off if the headlights were on before you turned the ignition off... Not sure whether DRL on/Auto lights counts, but that's my case and it always works. Source:
http://www.e38.org/E38-Options.pdf
"The interior light automatically turns on when ignition is switched off after driving with headlights on (if active)." <- if active means if coded properly so if all else fails (see below) it might be a configuration issue.
Give it a try with lights at Auto, DRL, Courtesy delay and welcome lights on in settings - then you can find the culprit by eliminating one at a time. Cheers.