Miami used to be bad too in the 80s.

Variables to consider:

• Winter keeps people inside when cold, perhaps that's a factor.
  
• Colder climates tend to have more social safety net programs. Even the poor are treated better, in winter. Northern countries of Europe, Canada, etc don't let their poor freeze nearly as much.
  
• Suburban sprawl. Chicago is a newer city, slightly, and not so limited geographically as say, Manhattan Island. Less compact means less stressors.
  
• Neighbourhoods. Perhaps the violence is essentially limited to a very specific danger zone, rather than all over generally dangerous.
  
• Culture. Different cities, different vibes.
  

Beyond that I have no idea.