B737-700
Flight Crew Air Transport Pilot (ATP)
Flight Crew Last 90 Days 320; Flight Crew Type 9600
Communication Breakdown; Situational Awareness; Confusion
ATC Issue All Types; Deviation - Track / Heading All Types; Deviation / Discrepancy - Procedural Clearance
Air Traffic Control Issued New Clearance; Flight Crew Returned To Clearance
Human Factors
We had multiple altitude and speed changes on the ZPLYN 3 RNAV Arrival into DEN that made it challenging to comply with all the changes successfully but we did and were finally cleared the RNAV Z Runway 17 R Approach. Upon being cleared the approach; we closed out the discontinuity from the arrival and brought up the points on the approach into the FMC. We sequenced QWIKE (the IAF) and then were given a clearance to 'Cancel approach clearance; descend maintain 9000 ft.'  We changed the altitude on the MCP (Mode Control Panel) and began the leg at STAAM when ATC called and gave us a 350 heading and said that she expected us to continue on the downwind. We should have been given course guidance but weren't. We discussed it briefly between ourselves on the flight deck and decided she must have meant for us to stay on the LNAV track for the approach so we did so; but the Controller wanted us to stay on a northerly vector from the arrival. Once we were cleared the approach there was no easy way for us to get the arrival back in the FMC in a safe and timely manner. There comes a point on these RNAV arrivals/approaches when we can no longer program clearances fast enough and just need altitudes and headings.
Pilot reported confusion between what they did and what the Controller expected them to do on an RNAV arrival.