Joe Arpaio is very predictable and this stunt is classic Arpaio. Whenever he is remotely threatened by a political opponent - particularly with one who has the power to indict him - he bites first. When Andrew Thomas was the Maricopa County Attorney Arpaio had teeth. Not so much anymore.
In the past, Arizona's Ostrich-like brand of politician has let him get away with this. That is why Terry Goddard stuck his head in the sand during his tenure as Attorney General. Arpaio kept a bogus never-ending investigation against Goddard open during this period and Goddard claimed a conflict of interest.
Unfortunately for Arpaio, the Justice Department doesn't scare so easily, particularly when Arpaio is not in a position anymore to do them or the current U.S. Attorney any harm or favors.