Rather alarming problem!
Discussion
I'll offer the "reboot" solution, then: have you tried disconnecting the main battery, then reconnecting after 20 mins? It sounds a bit like the alarm has gone out of sync with the central locking, such that unlocking is arming, rather than disarming it? It might not help, but won't do it any harm.
Had similar problem with a 99 Z3 - alarm module ( I think) had water in it - might be worth having a scanner put on it and seeing what codes come up. If you have a few then you should probably get them cleared, wait until the alarm goes off again and then re-scan to see if you can see what might be triggering it
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