To choose A and D is inconsistent with the “substitution” axiom of utility theory. C is equivalent to a 25% chance of receiving A, and D is equivalent to a 25% chance of receiving B: Given a choice between C and D, you'd choose D - but if the 25% chance comes to pass, you'll wish you'd chosen C! See this in pictures.
The fact that many people do choose A and D is known as the "Allais Paradox."
Lesson: The way we actually make decisions in the face of uncertainty is not necessarily the way a “rational” person would make those choices.