A bad synchro will cause that problem, especially at high rpms.
Most likely, it's user error. However, I had a 3rd gear synchro go bad in my GT3. The only time it would surface was when I was "getting on it".
If the problem persists, have it checked out.
Tim (apparently likes "3" cars)
E90 M3 -- Current ride
2004 GT3 -- Sold
1997 M3/4 -- Sold
1995 M3 -- Sold