Thats the way Canon dual card slots have worked on all 1D series cameras, and now on the 5D MK III.
If you do not want it to switch, turn the camera off until you reinsert the CF card, or remove the SD card and turn it back on after you reinstall the CF card, and it should switch back. If you turn it on with only the SD card installed, it will switch th that card and stay there. Its not odd, it makes sense that the camera should use which ever card is installed.