I think i would have done the same. Think of the implications involved in a missed approach, without comms, to ATC and other traffic at a very busy airport. this would be especially true baring in mind some airline's fuel policy.
I think if you are vectored and your intention was to land and ATC are expecting you to land, when the clearance is issued, then the only item missing is the landing clearance. Provided the runway is clear, then what is the problem?