By substituting $x=r\cos\theta, y=r\sin\theta$ in the formula $f(x,y,z)$, you are not converting to "polar coordinates". A polar coordinate system is a two dimensional coordinate system by definition of the term.
Then what are you doing?
Well, the conversion you made, yields a system of coordinates that is known as a cylindrical coordinate system.
Why do we convert to polar coodinates sometimes?
Because $(x,y)\to (0,0)\iff r\to 0$, assuming the canonical conversion. This can make things easier, because now we only have to consider one variable $r$ in stead of two variables $x$ and $y$. However, mind that $\lim_{r\to0}$ needs to be treated with care. See this, this and this for instance.
Did I do something wrong?
Well, not yet. The substitution you made isn't wrong, is just not necessarily useful. If you convert to cylindrical coordinates and let $r\to0$, then you are not approaching the point $(0,0)$ but the $z$-axis. So if you were to continue using this method, you would have to calculate $\lim_{(r,z)\to(0,0)}$ (also a tricky thing). Because only then are you approaching $(0,0)$.
Is there a three dimensional equivalent of the polar coordinate system?
Yes, there is. It's called the spherical coordinate system. Once you've converted from cartesian coordinates to spherical coordinates, we have that $(x,y,z)\to(0,0,0) \iff r\to 0$. Once again, it will suffice to consider only one variable $r$ now, if we're lucky (mind that $\lim_{r\to0}$ is still a tricky thing).
I did not perform any calculations on your limit. I'm leaving that as an exercise to you. I would like to leave you with the note that converting to spherical coordinate isn't a magic way to solve any $\lim_{(x,y,z)\to(0,0,0)}f(x,y,z)$ problem, The same holds for polar coordinates, or any coordinate transformation for that matter. If it works, it works. If it doesn't, too bad.