Interviewing for different position after accepting offer

So I accepted an offer to return to my bank at the end of the summer. But recently I've had interest in another field (law). I took a couple of interviews for entry level paralegal positions. At the end of the interview my interviewer asked me if I had any offers and I said yes and notified them of my offer with the bank and said I don't really have a deadline on that.

I didn't think I did anything wrong because I took the interview because I was really interested in the position and understand that I would probably be blacklisted at the bank if I renege. However, after recapping the interview with a friend, they were extremely concerned that the law firm will contact the bank.

I'm just looking for some additional insight -- I seriously don't have any intentions in wasting anyone's time rather its more of a career switch that I'm seriously considering. But after going to the interview I realized that I am going to stick with the bank for numerous factors.

Should I be worried?