If the BMW-obsessive folks from Bimmerfile are to be believed, such a machine was considered at the outset of the E9X car's development, and at least one test machine was built. So why wasn't it offered from the beginning? Naturally, an M3 wagon would be a small-volume proposition, which means it would likely carry a fairly large sticker price and would be tough for the automaker to justify. Bimmerfile estimates a base price of around $65,000.
Then again, Audi, Mercedes-Benz and, more recently, Cadillac have all put performance-minded wagons on the market, so who knows?