Try this filter at the bottom of the index first to see if it will give you who want. If you want a report, you can replicate it in the Custom Report filter screen.
Any Fact Place > Contains > Chicago
(if you have Chicago in other states, use Chicago Illinois - no comma - match all values).
Check Alternative facts if you want to include them.
I follow the practice of putting street addresses in the Place field for a Fact called "Address". If I were wanting Chicago Street Addresses in my file, I would select:
Address Fact > Contains > Chicago
Check Alternative Facts