Daniele,
My recommendation would be to check this with your dealer. A test drive by a qualified BMW Mechanic should identify your problem so that corrective action can be taken. Unless as pointed out by Memphis you shift too hard then the noisy might be the gear engagement from the clutch. My Z is automatic and I do not shift.
Good luck and report back once you identified the root cause.
Cheers,
Rolf-Dieter
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