Hi Angel,
Version 2.17 only supported lexicographical chromosome sorting (i.e. chr1, chr10, chr11 … chr2, chr3, etc.). Your files are "version sorted". Staring with version 2.18 and continuing with the current version (2.19), alternative sorting criteria are supported, but you need to provide a "genome file" that specifies the expected chromosome ordering in your data files. You could make such a file from the data files themselves:
$ zcat myVCFfile.vcf.gz | grep -v ^# | cut -f 1 | awk '{print $0"\t1"}' > my.genome
Then, using >= 2.18, you would do the following:
$ bedtools intersect -header -a myVCFfile.vcf.gz -b mybigBEDfile.sorted.bed -sorted -g my.genome
I hope this helps!