When locking screen on OS X Chrome cancels downloads
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 &amp; Privacy > FileVault.