So why no M4 Gran Coupe? It is not because the idea does not make sense it is due to logistics. M executive Jorg Bartels stated the following regarding production of an M4, That is a negative. It was definitely considered, but there is no plan to build an M4 Gran Coupe. Part of the reason is expected production volume, but also the 4 Series Gran Coupe is built in a different factory to both the 3 Series (sedan) and 4 Series (coupe), so there is a lot of challenges there.
Since the F36 is not built in the same factory as the F32 4-Series and F30 3-Series it seems BMW is not willing to justify the cost. The M3 and M4 roll out of the same factory so machines, transmission, engines, etc., are all in the same spot. Moving these aspects for an M4 Gran Coupe variant does not make business sense to them. If the F36 was assembled in the same spot, chances are we would see an M4 Gran Coupe.
Why did nobody at BMW think of this in advance when choosing which models were produced at which plants? Who knows but an M4 Gran Coupe is apparently not an important enough model to justify BMW making any changes.