Fault code not being stored

When I start my 2001 330i, I get the yellow light indicator to come on for 20 seconds or so, then it goes off. Had the car serviced for oil change and replaced the thermostat. Fault codes were cleared. Then, yellow light came on again for 20 seconds each time I started.

Took it back to the BMW Shop; they said it's not storing a fault code. It's been going on for 3 months. Car runs fine. They said to keep going unless something is wrong.

Any ideas what could be causing this?