Believe it or not, Chicago is just part of Illinois, but don't tell that to those that actually live in the city. <img src="/images/graemlins/wink.gif" alt="" />
The Illinois law is as I said. Cities and other municipalities can have their additional laws too, so long as it doesn't violate the state or US consitutions. For example, in Chicago it is illegal to own a handgun without special permits (actually it is legal to own a registered handgun, but they don't allow any new registrations, so...), and it is illegal for a minor (under 18) to purchase spray paint.
From what I can find, the only limitation Chicago has on blade length is ...
"No person 18 years of age or under shall carry or possess any knife, the blade of which is two inches in length or longer."
from
http://www.chicityclerk.com/legislation/codes/chapter8_24.html