Did you save the depth image by using the right-click menu on the image view? This should not be used to save depth images (it only saves what it is shown as a RGB format). You should use the following in Database Viewer: File -> "Extract images..." to actually extract 16bits depth images.
You have to convert the extracted RGB images from JPEG to PNG format to make PCL's png2pcd tool work:
$ pcl_png2pcd --intensity_type FLOAT rgb/1.png depth/1.png 1.pcd
cheers