It is, isn't it? We have LA or Toronto or Vancouver as New York all the time, but usually if they film in NYC it's because the story is set there. But assuming that the series creators thought this story had to be set in Chicago, it would have been a nightmare. Chicago has a wonderful local theater scene of course, so actors are available. But few big names will relocate there for most of a year, at least not the ones The Good Wife has.
As a longtime Chicagoan, I remember that occasionally a series would film there (there was once a Chicago film industry -- my father was a director there), and it always got tons of local publicity, and it would never last long.
However! I discover to my chagrin that there have been THREE series filming around Chicago of late! Chicago Fire, Mob Doctor, and (just cancelled) Boss.
In the past, they've had Chicago Story, What about Joan?, Lady Blue, The Chicago Code, and Early Edition. Among, I know, many others.