Hi Davide,
I literally had the same problem but I fixed the issue by renaming my index file. For example, if my bam file is named 'A.bam' then my index file would be 'A.bam.bai' and NOT (what I had previously) 'A.bai'. I know this is a late reply but I hope that it resolves your issue and others in the future.
Kind regards,
A really inexperience bioinformatician