He was upset that the musher wouldn't accept him onto the team because the musher thought that Balto snapped at him because of what Steele did and he saw his wolf side. Balto was just in a state of mental shock and disbelief but at the same time furious at Steele for what he did to him, and it caused him to say something to Jenna that he would not have meant to say. It was just the fury and shock that caused him to have a mental breakdown and say something bad. I am pretty sure that Jenna understood after he said it though, and she felt sorry for him.

When Balto won the race, the mushers were considering using
him. But then Steele stepped on his paw, and he growled. The
mushers then decided not to use him, they said, "He might
turn on us." Then Jenna comes to get Balto, but he says, "I
might turn on you." Then he walks away.

He was upset that even though He won the race To be on the
sled team that the Humans wouldn't use him because they
thought He would tun on Them because He was part Wolf
and He really wanted to help get the medicine for Rosy.

because hes a wolf and is wild the mushers who were going to
have him take the medicine to the hospital reconsidered when
steele got jealous and made them rethink their decsion when
he stepped on his foot