Most likely, you messed up by going through immigration and trying to retrieve your bags. On a normal ATH-LHR-ORD transit booked on one ticket, you would only collect your bags at ORD. The baggage claim info is automatically printed on the boarding pass. The place to look would've been your baggage claim checks. If those had said checked through to ORD, then you would've just cleared transit security at LHR and continued onto your flight without missing it. If for some strange reason they were only checked to LHR per your baggage check, then yes you would've had to exit immigration, claim your bags, and pass through security.
To add, in most places, you only collect your bags at your final destination, not when in transit. The US is the oddity that makes you pass through immigration and collect bags at your first entry point into the country, not your final destination.