Why is my pistol a grenade?

You are just simply using a Tediore manufactured gun. In Borderlands 2, whenever you reload with a Tediore, your character tosses the gun away, which explodes and can do damage to enemies. Shortly thereafter, a new copy of the gun digistructs in your hands.

As Jin said, when you reload any Tediore gun you discard the entire clip (even if it had bullets left in it). Also note that the damage that the thrown gun does seems to be proportional to the number of bullets left in the clip that you discarded.

E.g., at lvl.12 the first Eridium gun that I got was a Thediore which would do 1000 damage if I reloaded after firing only once (36/40 clip - it used 4 ammo per shot).