If I understand what you are saying, your bike was not actually locked. It takes 2 seconds to clip the typical cable, 10 seconds for a beefy, expensive cable. Someone clipped the cable, giving them your bike, and giving them your u-lock. From your description, it sounds as if the u-lock was not attached to the bike rack. You have not provided any reason to think that the crook ever touched your u-lock, prior to riding away on your bike.

There is a method of locking your bike that makes it impossible to steal without power tools. That method is to place a premium quality u-lock from Kryptonite, OnGuard, or Abus (locks selling for $50 to $100, not the $19 models) around the rear wheel, directly behind the seat tube. The lock goes around a beefy steel post that is set in concrete, such as a electric pole, or a parking meter. If you have a cheap front wheel, attach it to the frame with a cable lock...an expensive front wheel requires a u-lock.

Flimsy, light weight bike racks, held together with a few bolts are NOT a secure location for locking a bike. The beefy steel racks that lock like a series of "U"s that are set into concrete also work well with the "mini u-lock around the rear wheel method".

It is tough to lose a bike. And, it sorta puts a cloud over every ride to have to think about some crook stealing our bike. But, we have to be smarter than the crooks if we want to beat them.