Why does Jem think that something is wrong when Atticus leaves?

Jem's first hint that something is wrong would be the fact that his father takes the car.... something he never does, as he prefers walking.

“I’m going out for a while,” he said. “You folks’ll be in bed when I come back, so I’ll say good night now.”

With that, he put his hat on and went out the back door. “He’s takin‘ the car,” said Jem. Our father had a few peculiarities: one was, he never ate desserts; another was that he liked to walk. As far back as I could remember, there was always a Chevrolet in excellent condition in the carhouse, and Atticus put many miles on it in business trips, but in Maycomb he walked to and from his office four times a day, covering about two miles. He said his only exercise was walking. In Maycomb, if one went for a walk with no definite purpose in mind, it was correct to believe one’s mind incapable of definite purpose.