It goes back to the idea of the signal fire.

The symbolism of the burning cross was specifically used a call to arms/declaration of war for the Scottish clans. Sort of a command for all clan members to make their way to the area and defend it.

It was used extensively in the 1715 Jacobite rising and in Canada among Scottish settlers during the war of 1812.

It was made a symbol of the Klan by a racist fan fiction author in 1905. (note that this is after the first Klan was disbanded, and before the second formed)

The racist fan fiction author knew about the Scottish tradition, and assumed that the burning cross would call all the white people together to come kill the black people.

And now you know.

Well for starters they are not smart

Some very informative and leading articles pop up from that site. I learned a lot about indigenous issues (inflicted by settlers) there. Was really surprised given the associations I have with the brand.