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.
Filter In
Other
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.
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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:
All Facts
Address Fact > Contains > Chicago
Check Alternative Facts