Chicago is obviously a major industrial area, but people often forget that Detroit is as well. Within a 100 mile radius of Ann Arbor, you have 18 Fortune 500 HQs, including Dow Chemical, Kellogg and the automotive industry. Along with those will come major consulting and auditing offices for firms like McKinsey, BCG, Ernst & Young, Deloitte & Touche, PwC, Booz Allen Hamilton, Accenture etc…All of those firms recruit HEAVILY on campus.
Furthermore, UIUC is not that much closer to Chicago than Ann Arbor. I believe Urbana is 150 miles from Chicago while Ann Arbor is 250 miles from Chicago. Again, Chicago firms recruit very heavily at Michigan.