Interlocked cyclic compounds
The compounds you are referring to are called catenanes (see also rotaxanes, as they are a close relative).



(image source)


  one molecule chain of one benzene molecule, go through the center of
  another, before closing back up as a ring


While catenanes involving larger rings can be prepared, having one benzene ring threaded through a second benzene ring is not likely.  If you build a model you can see that there would be severe steric interactions, I've tried to depict this in the following drawing.





The carbon-carbon bond length in benzene is 139 pm.  Therefore, the approximate side to side distance in benzene is $\mathrm{2 \cdot 139~ pm \cdot cos(30°)= 241~pm}$.  The van der Waals radius is defined as "half of the internuclear separation of two non-bonded atoms of the same element on their closest possible approach" (source).  The van der Waals radius for carbon is 170 pm, meaning that the closest approach for two non-bonded carbon atoms is around 340 pm.  This value is significantly larger than the 241 pm side-to-side distance we calculated above for benzene.  This means that a carbon atom cannot pass through the interior of a benzene ring, at least not for carbon atoms with energies typically found in an organic laboratory.