Because Sisko was in a bad place mentally. I'd be more surprised if he hadn't acted oddly around Picard. If someone was brainwashed and killed your family, you think you'd really be out playing tennis with them once they were reprogrammed?
Poor Picard.

What exactly did Sisko say that was so reprehensible?
SISKO: It's been a long time, Captain.
PICARD: Have we met before?
SISKO: Yes, sir. We met in battle. I was on the Saratoga at Wolf 359.
PICARD: I assume that you have been briefed on the events leading to the Cardassian withdrawal?
SISKO: Yes, sir. I understand they've spent the last half century robbing the planet of every valuable resource before abandoning it.
PICARD: They've left the Bajorans without a means of being self-sustaining. The relief efforts we've been coordinating are barely adequate. I've come to know the Bajorans. I'm a strong proponents for their entry into the Federation.
SISKO: Is it going to happen?
PICARD: Not easily. The ruling parties are at each others throats. Factions that were united against the Cardassians have resumed old conflicts.
SISKO: Sounds like they're not ready.
PICARD: Your job is to do everything short of violating the Prime Directive to make sure that they are. I have been made aware by Starfleet of your objections to this assignment. I would have thought that after three years spent at the Utopia Planitia yards, that you would be ready for a change.
SISKO: I have a son that I'm raising alone, Captain. This is not the ideal environment.
PICARD: Unfortunately as Starfleet officers, we do not always have the luxury to serve in an ideal environment.
SISKO: I realise that, sir, and I'm investigating the possibility of returning to Earth for civilian service.
PICARD: Perhaps Starfleet Command should be considering a replacement for you.
SISKO: That's probably a good idea.
PICARD: I'll look into it. In the meantime however...
SISKO: In the meantime, I will do the job I've been ordered to do to the best of my ability, sir.
PICARD: Dismissed.