What does Matthew 9:4 mean?

Jesus has responded to a paralyzed man's arrival by telling him his sins have been forgiven (Matthew 9:2). Some scribes—teachers of the law—accused Him between themselves of blasphemy. Jesus now responds to them. Though what they said wasn't audible to Jesus, He knows exactly what they're thinking. He says, "Why do you think evil in your hearts?" Mark and Luke phrase the question as, "Why do you question in your hearts?"

It's important to realize that these men are not being condemned for simple skepticism. Later encounters will show their opposition to Jesus is intentional, hardened, and unfair (John 5:39–40). This is why their sin is described as that of "unbelief." Despite the displays of power and authority they have seen Him demonstrate, they have prejudiced themselves out of pride. They have failed to recognize the truth of His identity in His authoritative teaching. Ignoring the signs and evidence, they prefer to believe Jesus is a mere mortal under their authority. He will show them once more that He is not.

Part of Jesus' strategy here is to begin with a claim that's "easier" to make, since it's hard to test: the authority to forgive sins. Once His critics respond, Jesus will prove His power by making and fulfilling a claim which is impossible to falsify (Matthew 9:5–7).