Transmission Gear Indicator problems of the 2003 BMW 325

Bought 2003 BMW 325i brand new. After driving it for 4 years (39,800milies) it started making a thumb sound and started losing transmission power and the gear indication light turns on. Brought to dealership and I thought it was fixed. It was always happening until the warranty expired. I can not use the car specially during cold weather. This problem was happening on the highway and city street while in motion. Most of the time the car is in the garage. I can not believe that at only 39,800 miles, this car is going to have such a major problem. But I believe this a transmission issue. This car still looks mint because of rare usage.