No you don't need to change with every oil change in normal conditions, especially not with just 5k/yr, even if you did 15k miles per year the air filter should be good for 30k (I think that's BMW's standard interval??). With that and the pollen filter, just change it when it's starting to get dirty (with more leeway on the pollen filter).
Oh, pollen filters can be more affected by parking under trees than mileage
