I don't think I've ever seen a pre-facelift Z4 (03-05) that did not have fog lights but apparently you could've optioned it that way. And if you didn't get fog lights, you had these covers installed from factory, part number 51117044227 (left) and 51117044228 (right).
Does anyone have pictures of what these covers look like? Couldn't pull anything off the web bio I'm thinking about changing up my brake duct cooling on my Aero bumper (currently running fog lights). I think the fog lights would be a great area to collect air. And rather than mess with different flanges, these covers might be the trick
if they mount flush to the bumper.
The closest thing I could find was this BMW DIY Retrofit guide which shows what the covers look like from the back, not very helpful lol
http://www.unofficialbmw.com/images/6047EN.pdf