Typically, the sensors are on the front only for the W124-series models.

The sensors work by contacting the rotor when brakes are applied, thus completing the circuit necessary to illuminate the brake pad indicator light.

You can do a visual inspection of your pads to determine how much material has worn. But if your brakes are indeed new, then improper install can cause a sensor problem.

I believe there was a post not too long ago where the poster discovered a pinched sensor wire or insulation worn off and the sensor contacting metal. Either way, the sensor making contact with metal will certainly fire up that light...

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2009 ML350 (106K) - Family vehicle
2001 CLK430 Cabriolet (80K) - Wife's car
2005 BMW 645CI (138K) - My daily driver
2016 Mustang (32K) - Daughter's car