What causes check engine light to come on in a 99 BMW Z3?

The most common cause is that the gas cap is not seating properly. If your gas cap is loose, re-seat it and wait two days to see if the light goes off, if it does not, see below....

There are pages and pages of things that can cause a check engine light. You need to have it checked with a scantool. Then the code can be diagnosed and repaired.