When locking screen on OS X Chrome cancels downloads

When I lock my screen using cmdalteject while Chrome is downloading, the download is canceled. I get back to my computer and see that download is not active. I also noticed that video streams I'm watching (such as live TV) also stop.

My question is, can I change this behaviour? When the download is big I cannot lock my computer for long time and I feel my computer is compromised when I leave it.

Is it OS X issue or Chrome?

I have MacBook Pro (13 inch, mid 2012) with El Capitan.

Instead of cmd+alt+eject, use the Login Window instead as this does not interrupt your download or streaming.

To use Login Window, go to:

System Preferences -> Users > Login Options > Show fast user switching menu as 'Icon'

You will see a "user icon" top right bar left of Spotlight icon. Click on this then click on Login Window.

Hope this helps, if it doesn't, it is most probably that your drive is encrypted. Check System Preferences > Security & Privacy > FileVault.