Some folks are under the mistaken assumption that Chicago is not actually a windy city. They look at the NWS weather data and see that Milton, Massachusetts is the windiest city, and that Chicago is a bit down on the list.
The problem with this logic is that NWS weather stations are often not actually in the cities themselves, or at least not downtown.
The Milton, Massachusetts weather station is on Great Blue Hill (the namesake of WGBH), the highest prominence on the coast of Massachusetts. In contrast, the Chicago NWS station is at O'Hare International Airport, which is far west of downtown Chicago and as far away from the shore as one can be and still be within the sprawling limits of that city.