Create Wireless Bridge Connection Between Modem & WNDR3700 Router
Nothing is going wrong, this is expected behavior.  You are disconnecting the path used by the router to connect to the modem.  The short answer is, you can not do this this way.  The router needs to be physically connected to the modem if the modem is bridging.

The long answer includes explanations that have to do with the Data Link Layer versus the Networking layer and using the router as a wired to wireless bridge...

If the modem has built in wireless capability you could turn everything on in it.  I do not know if your router will act as a wired to wireless bridge (backwards from the usual).  This would require special configuration that is not what is usually expected.