When we parent a game object to another game object, we make the Transform values of the child object local to the Transform values of the parent object.

This is very useful, if used correctly. In the above situation, we have a character holding a ball. While we move the character with the assumption of still holding on to the ball, we can simply move the character. As it is local to the character, the ball moves with it. However, this does not work when we parent seperate objects containing `Rigidbody

When we parent a game object to another game object, we make the Transform values of the child object local to the Transform values of the parent object.

This is very useful, if used correctly. In the above situation, we have a character holding a ball. While we move the character with the assumption of still holding on to the ball, we can simply move the character. As it is local to the character, the ball moves with it. However, this does not work when we parent separate objects containing Rigidbody components. A Rigidbody interprets every child object as part of that Rigidbody, where a child Rigidbody can break this assumption, and lead to odd behaviour.

As detailed at Unity Answers, you should use joints to attach Rigidbody game objects.