I suspect they might think that you are against what the believe...as in refuting everything they hold dear.
I don't want to stereotype, but as to cases when this does happen, I think that under74 is right on the money.
One time when I told a co-worker that I was an atheist (in context, of course; I don't bring up religion as a topic of conversation), I think she was genuinely shocked. She wasn't offended, just surprised. I suspect that she probably had a conception of atheists as arrogant, immoral people. It's a little like when we used to tell people that we were Witnesses, and they were shocked. "But you seem so normal!"
I think that, especially in places where the culture is very dominantly Christian (e.g. Idaho, or Texas), some people don't realize that atheism is just another belief system, and that atheists aren't against mom and apple pie and everything good. So when you non-chalantly say "I'm an atheist", it's a little bit as if you had said "oh, yes, I'm a neo-Nazi" or "let's go destroy the fabric of society."
Okay, I'm exaggerating a little. But I think you get my point.