When you start a Sprint, your development team has committed to implement the stories in that Sprint. The Sprint backlog is then supposed to be fixed for the duration of that Sprint: nothing should be added or removed. If a new bug is found, then it gets added to the Product Backlog and the Product Owner will decide when it should be implemented.
So you'll find that your newly created bug is in the Product Backlog (Plan mode), not the Sprint Backlog (Work mode).
Take a look at https://answers.atlassian.com/questions/85519/automatically-reported-bugs-to-the-current-sprint?page=1#88530 to see how one user dealt with this.
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