If the legendary creature that entered the battlefield leaves the battlefield before Hero's Blade becomes attached, Hero's Blade stays as it was. If it's already attached to another creature, it remains attached to that creature.

The triggered ability will trigger when one of the Gods from Theros block enters the battlefield only if your devotion is high enough that it's a creature when it enters. If Hero's Blade is attached to a God that stops being a creature (or any creature that stops being a creature), it will become unattached.