If you perform the calculations to determine the lease on both you will find that the monthly payments are about the same. The residual rates are higher for BMW but so are the money factors.

If you take a car costing $40,000 and apply

2009 Audi A4 2.0T Premium quattro Tiptronic Sedan
36 Month - Residual 57% of MSRP - .00171 Base Rate

you get a payment @585.00

If you take the same car costing $40,000 and apply

2009 BMW 328xi Sedan
36 Month - Residual 60% of MSRP - .00215 Base Rate

you get a payment of @582.00