Yes, BA are correct. There is an international convention on this one, overseen by IATA, that the final airline is responsible from a customer perspective, regardless of fault, so AM here, to whom you presumably reported the delayed baggage. They are then in charge of the entire matter as a one-stop-shop. Behind the scenes AM can then pass the bill back to BA, again allowed for under IATA rules, though that doesn't always happen. Either way, you contacting BA would give them the legitimiate concern that they could be paying twice for the same incident.