My Z4 used to do it and if the handbrake is anything like the 1 series set-up, it's not the best. The Z4 was a Bowden cable operated system, with a brake shoe design rather than clamping onto the disc. Picture below should help to explain what I mean.
The 'shoe' creaks/squeaks as it moves very slightly when you get into the car!
That's my understanding of it, for the Z4 at least!