Many BMW keys cannot be programmed via the OBD (on board diagnostics) port. This is more secure for you because an oik can’t just plug their computer in and steal your car. About the only negative is that it can be more difficult to replace a lost key. BMW dealers can provide a key ready cut and programmed for your vehicle but it may take several days to arrive.
If you can’t wait for a dealer to obtain a key, the BMW immobiliser (FEM, BDC, CAS or EWS) can be removed from the vehicle and the information read/written directly to the EEPROM chip. This can also be used to erase a missing or stolen key to prevent it starting the vehicle.
Proximity/smart keys with a push button start have their own security concerns. A criminal can relay the signal from your remote/key to the car and drive off. Consider where / how you store this type of key when not in use.