How does a mixture not retain its chemical identity?
A good example of the difference might be to look at water, $\ce{H2}$, and $\ce{O2}$. 

If you have gaseous $\ce{H2}$, and $\ce{O2}$ in a container you have a mixture; you can change it to have $99\%$ oxygen and $1\%$ hydrogen or vice versa or any ratio in between, but it is still a mixture of the two gases. These mixtures will have different properties depending on the ratio of the two gases. Each gas still has its own properties and the mixture exhibits some combination of them depending on the ratio.

If they are allowed to react to form water, now we have a substance. Regardless of how we make water, it will always have the same composition (two hydrogens for each oxygen) and the same properties. Importantly, these properties are completely different from hydrogen, oxygen, or any mixture of the two.