It didn't bother him that Mordecai wasn't bothered by his verbal attacks... because Jack had already seen the man lose it. A couple times, actually. First, after he took Moxxi, and second blowing Bloodwing's head off. To him, Mordecai wasn't a threat. He was never a threat, and so he didn't take his statement seriously at all.

"Now, I don't think the crew of this ship will approve of you wanting to kill a passenger that just wants to start over."

That was his story and he was going to convince and manipulate everyone he could to believe it.