In polar coordinates the position and the velocity of a point are expressed using the orthogonal unit vectors $\mathbf e_r$ and $\mathbf e_\theta$, that, are linked to the orthogonal unit cartesian vectors $\mathbf i$ and $\mathbf j$ by the relations:
$$
\mathbf e_r=\mathbf{i}\cos \theta +\mathbf{j}\sin \theta
$$
$$
\mathbf e_\theta=-\mathbf{i}\sin \theta +\mathbf{j}\cos \theta
$$
The position of a point is given by $\mathbf r=r\mathbf e_r$, where $r=\sqrt{x^2+y^2}$. from this we can find the velocitiy as:
$$
\mathbf v= \frac{d}{dt}(r\mathbf e_r)=\dot r\mathbf e_r+r\dot{\mathbf e}_r
$$
with abit of calculus we see that this gives:
$$
\mathbf v=\dot r\mathbf e_r+r\dot \theta \mathbf e_\theta
$$
so the two components of this vector, in polar coordinates, are:
$$
v_r=\dot r \qquad v_\theta=r\dot \theta
$$
and you can see that
$$
v_r=\dot r=\frac{d}{dt}\sqrt{x^2+y^2}=\frac{x\dot x+y\dot y}{\sqrt{x^2+y^2}}\ne \sqrt{\dot x^2+\dot y^2}=\sqrt{v_x^2+v_y^2}
$$
You can find by yourself the expression of $v_\theta$ in terms of the cartesian components of the velocity (that is not simple as in your question).