Dumb cop

Cop: Hey, what do you think you're doing?
Me: I'm making a left turn
Cop: You need to get out of there
Me: I'm making a left turn (thinking I hadn't been heard)
Cop: Well you can't do it there. You need to get in the cross walk (I'm in the left turn lane)
Me: I was taught you're supposed to bike with the flow of traffic
Cop: Well not here
Me: *Make left turn*

Here is the relevant bit of law:
257.660a Operation of bicycle upon highway or street; riding close to right-hand curb or edge of roadway; exceptions.A person operating a bicycle upon a highway or street at less than the existing speed of traffic shall ride as close as practicable to the right-hand curb or edge of the roadway except as follows:

(a) When overtaking and passing another bicycle or any other vehicle proceeding in the same direction.

(b) When preparing to turn left.


(c) When conditions make the right-hand edge of the roadway unsafe or reasonably unusable by bicycles, including, but not limited to, surface hazards, an uneven roadway surface, drain openings, debris, parked or moving vehicles or bicycles, pedestrians, animals, or other obstacles, or if the lane is too narrow to permit a vehicle to safely overtake and pass a bicycle.

(d) When operating a bicycle in a lane in which the traffic is turning right but the individual intends to go straight through the intersection.

(e) When operating a bicycle upon a 1-way highway or street that has 2 or more marked traffic lanes, in which case the individual may ride as near the left-hand curb or edge of that roadway as practicable.

From m-bike.org

Here is the relevant bit of logic:
Bikes should ride with the flow of traffic.  On sidewalks they interfere with pedestrian traffic and if you use the crosswalks you will end up at least temporarily riding against the flow of traffic, which makes everyone nervous.  Out in the left turn lane you are visible and it is clear what you are going to do next make a left turn and as long as you follow traffic laws everyone should be fine.