I think you could feel fine about recycling them.
a couple other options I've seen:
cleaned up and welded into handles to make mason jars into mugs.
jewelry. I wore I chain bracelet for a couple years many years ago. needed a chain breaker to take it off. it's a little embarrassing now, but I thought it was pretty cool at the time. opened a lot of beer bottles with it.
art. I've got a plan for a bathroom fan that involves bike chain, a little motor, and a radiator fan that I liked the look of and I bought on clearance. it'll be functional, but also hopefully look nice. there's a chance it may be another use of bike chain I'm embarrassed about years down the road, though.
but recycling it seems fine.