The Amazons weren't just lost. They had been turned into human women as a punishment for their crimes (IE, the whole Amazon Attack clusterfuck).
Even if Diana had found them, she couldn't have retrieved them without defying their Gods. It would have been like breaking them out of jail. What's the point of looking for somebody you can't free anyway?
Sure, that's kind of irrelevant now that Diana has kicked Zeus' ass, and also considering that those Gods were impostors to begin with. But, at the time, she had no way of knowing that Athena was really Granny Goodness, and she was still her Champion.