It's not a bug in the least. AWOLegend is half right; when you switch guns, you lose half your ammo (some round down to zero ammo if you're low enough) to discourage swapping guns around too much, or at least not in combat. Personal experiences say that it goes by how many full magazines you have out of your ammo cap. If that's the case, one full magazine of shotgun ammo (plus one quarter of a magazine) translates to about half a magazine of sniper ammo, but if you only have a magazine size of about 3 or 4, it will round down from 1.5 or 2 to zero. Conversely, a fully charged Ice Breaker sniper (6-shot magazine, no backpack) is max ammo, and switching weapons will give you about half a full set of ammo (so if you can carry 16 total shotgun ammo, you'll have 8, 4 loaded and 4 in backpack). Switching back will halve it again, putting you at 1/4 max ammo, giving your Ice Breaker like one or two shots (it recharges, so I can't be 100% which it is, it could be one and instantly charges to two before I notice)

It's not a bug. Bungie has stated that you will have zero ammo for your special weapon if you switch them. Same goes for the heavy weapon. It is there to stop people from switching all the time, it makes you decide before hand what weapons you are going to use.

I have also to came across this bug. It happens everywhere and it's annoying. Especially when you have just collected a lot of ammo.