The main con is that a BMW isn't likely to be as reliable as your Miata has been. But if driven only occasionally, and then on good roads in good whether, a Z4 is usually much more reliable than your typical daily driven BMW of the same age.
The Z4 is more comfortable than your Miata, but it is much heavier and doesn't handle with the same agility. It's steering is also somewhat numb.
If it's within your budget, you should take a look at the new Miata before buying a different sports car. The new Miata is more comfortable than any previous one, and feels very different from your 2002.