Just disconnect the account and then re-connect it to the new bank. You'll probably have some duplicate transactions the first time you connect but you shouldn't lose anything. I'd make a backup of your file first just in case.
Right-click on the account in the account sidebar & select Account Settings. Go to the Downloads tab & select Disconnect Account; then repeat those steps & select Connect Account. After you enter your login credentials for Chase, on the next screen make sure you select your existing Quicken account for your BJs card - it might default to creating a new account instead.
Or, instead of selecting Disconnect Account, select Change Connection. It should work pretty much the same but combine the disconnect & connect steps.
Ah, crap, sorry, I failed to notice you're using Quicken Windows. I'm not sure exactly what the steps are to disconnect & reconnect your account but that's still the basic process you should follow.
OK, I think you want to right-click on the account in the sidebar, select Edit/Delete Account, and then go to the Online Services tab. Select Deactivate Account. When that finishes you can select the Set Up Now… button to reconnect it to Chase.
That's the option you want, it will disconnect your account from Comenity. When that's done there will be a Set Up Now button which you can select to connect the account to Chase.
No, you don't lose anything.