Car appreciation... the aesthetics, the engineering, etc

Anyone know why they don't do an M3 Touring?

Well the 3 and 4 series were meant to split the 3 into rep exec salon and coupe. Although BMW seem to have gone a bit nuts with their naming 'convention' now.

But before it's depended on the market in a given era. The first M3 wasn't planned to be a success in the way it was, and was very niche. The e36 M3 included a saloon - giving it the widest possible remit. The saloon wasn't that popular, so wasn't included in the next gen, and by extension a touring would have made even less sense. However, the e42 was even more performance driven and marketed as a practical sports car. If you're going to the effort of carbon and alu body bits, chucking a couple more doors and extra bodywork doesn't make much sense. Since then they've carried on that same trajectory.