This is actually an interesting question. "Why the heck is God jealous of other idols?" is the question you are asking, when really you should be thinking outside the box.
The real question you should be asking is whether or not the writers mistranslated.
In the King James Bible as published by the LDS Church, there are footnotes on the bottom of each page that attach to various words in each of the verses. One of the footnotes in Exodus 20:5 is attached to the word "Jealous" and gives the explanation of "HEB qannah, 'possessing sensitive and deep feelings.' This word was either supposedly the word from which the interpretaion of Jealousy was derived from when translated, or the word "jealousy" had an alternate definition that, back when the KJV was being created, was akin to the meaning of the Hebrew word "gannah." If that is the case, then if you use that word instead of the word "jealousy" we receive a completely different interpretation of the passage.
Instead of: "Thou shalt anot make unto thee any graven cimage, or any likeness of any thing that is in heaven above, or that is in the earth beneath, or that is in the water under the earth: Thou shalt not bow down thyself to them, nor serve them: for I the Lord thy God am a jealous God, visiting the iniquity of the fathers upon the children unto the third and fourth generation of them that hate me;" (Exodus 20:4-5)
...which seems to display a harsher nature in God than the New Testament would seem to indicate, we have this:
"Thou shalt anot make unto thee any graven cimage, or any likeness of any thing that is in heaven above, or that is in the earth beneath, or that is in the water under the earth: Thou shalt not bow down thyself to them, nor serve them: for I the Lord thy God [am a God with deep and sensitive feelings], visiting the iniquity of the fathers upon the children unto the third and fourth generation of them that hate me;"
With this translation, we gain an insight into the sensitive nature of our Heavenly Father. He isn't wrathful and jealous when we worship other idols; he is hurt. He is sensitive, he cares about our feelings intimately, and when we don't try to share that same sensitivities, it hurts him to the core.
He wants us to have a relationship with Him, and when we turn our backs on Him, to worship and give our attention to things that don't even matter, it hurts our God to the core. His own children, the people that he created lovingly and tenderly with his own hands, are denying his existence and giving more respect and honor to an inanimate object than their own Father! To add insult to injury, the idol worshippers attribute that inanimate statue with doing the very thing that He Himself has done!
I imagine that's got to sting quite a bit: To have the children he loves so much, completely and willfully deny that he even created them. If you had sensitive feelings, wouldn't you be angry too?