I have no insider info to share, just some personal opinions and theorizing:

As you probably know, the M3 sedan was only available a few years during
the late 90's (E36).  There was never an E30 M3 sedan, nor an E46 M3
sedan.  This leads one to assume that there probably will not be an E90
M3 sedan.

My guess is that the M3 sedans that they did make were not a huge
marketing "hit" then.  Yes there were a few folks (especially here in
the US) that bought them, but by and large it probably did more to
dilute the aura of "sportiness" which effected the M3 coupes too.  I see
a lot of M3 4doors with automatic transmissions.  Ugh.  Same with the
Convertibles, if you ask me.  An M3 convertible is just not the same as
an M3.  Too heavy, poor aerodynamics, and most have automatics.

The other possibility is the marketing wizards may have determined the
M3 sedan cut into the M5 market.  M5's being more profitable, this would
be something they would want to avoid.

If you want an M3 you will likely have to make the supreme sacrifice of
living with 2 doors.  Otherwise, a 330 PP is the best you can do.

--
-Fred W