Because there is some similarity of the word Jew and Yadu so some historian or scholar, so called, created this notion. I have read it also in some paper. But even it is true, we have nothing to do with it. Lord Krishna killed his own dynasty under His personal supervision. So certainly Krishna didn't like the idea that future dynasties would be able to identify having Krishna's blood. Krishna has no material blood; neither He is different from His body.
Letter to Nayana Bhirama, 22 August, 1971