Bloodlust stacks are lost when switching to another weapon in your inventory with a bloodlust sigil.
Since the last patch (March 31) You lose all your bloodlust stacks if you change weapons through the inventory, even if the weapon you change to also has a bloodlust sigil. This was not the case before the patch.
E.g. on my Engineer:
- Rifle with Superior Sigil of Bloodlust
- Kill some mobs to get stacks
- Doubleclick on a shield with Superior Sigil of Bloodlust
- Lose all the stacks.