Creating a new hero does not mean you deleted another so don't worry!
For Console/controller users
To change or view the heroes in your account, open up the Pause Menu and go to the Inventory. From here, press LB to select the left half of the Inventory UI and click the Left Joystick to see your Hero Rolodex. This is the "All Heroes" view on the left side of the screen. From this screen, you can browse your current list of heroes with the rolodex, and press the corresponding Hero Swap button to assign the heroes to the various slots. If you're having a hard time parsing through your large collection of heroes, use the Browse All page to quickly find the one you're looking for.