Follow up question: why would it need to?
It probably never occurred to you to even wonder about a diesel BMW Z4, as it just seems like an odd match. For small and relatively lightweight cars like the Z4, a torquey diesel doesn't seem necessary, but this offering from AC Schnitzer certainly makes the idea look appealing. It is basically a Z4 sDrive 23i, but with the engine out of a M550d. But obviously that's not it, the triple-turbo inline-six also gets cranked up to 424 horsepower and 619 lb-ft of torque. All of which is a hell of a lot.
AC Schnitzer says that the car will now hit 60 mph in 4.5 seconds, and lapped the Sachsenring in 1:37.22, faster than any diesel car that has ever been around the track before. Since the new engine is also heavier than the one it replaces, some weight saving measures were taken, including the replacing of the roof and trunk lid with carbon fiber. All told, the car comes in 288.8 lbs lighter than stock, even with the new engine. The car is impressive, but AC Schnitzer says that it's a one-off, made for a specific customer but not to be repeated. The cost was apparently $120,804, which is quite a bit for a Z4.