That's because that's how they trace his claim to throne of Israel. But the whole point of the New Testament, from about Acts onwards, is to demonstrate that with Jesus' death, salvation was no longer just for the people of Israel (read, the Jews), but for all people. Peter still spends a lot of time preaching to and converting Jews, instructing them on new practices, but Paul felt it was his specific mission to take the Word to gentiles, especially Romans.

What likely offended them, probably had nothing to do with Judaism though. You said that David was the oldest figure from the Bible that existed 'that you can prove.' To most Christians, the Bible itself is a historical document, so no further proof of the existence of say Jacob, Isaac or Abraham would be necessary or for it to be collaborated from other sources.

Even still, I know plenty of Christians, that wouldn't be offended simply to hear that expressed, so they still sound like fairly uptight people.