I'm in the same position, except with New York. The way I see it, though, is that you shouldn't do anything that's going to make you bitter in the future. If being in Chicago is going to make you upset for the next four years, you will probably carry some of that resentment into your relationship and then even though you're in the same city, things might be strained anyway. And if you should break up, then you're stuck in a place you don't necessarily want to be.
That said, long distance isn't exactly a picnic either, so there's no perfect solution. If anyone finds one, let me know!! 😉