Chicago has been steadily losing its population since the 1950's.
In the 1950's the population was near 3,600,000 with it being close to 2,700,000.
However, that past information and not necessarily indicative of what is in the future for Chicago.
Per my research - median home sale price is $170,000.
You should be able to find a home to cash-flow at that price point.
I also heard that was a recent state income tax increase which made some wealthy individuals move away from the state.
I believe Chicago provides more opportunities to find cash-flow positive properties.
Chicago will offer a far higher long term return. Simply put cap rates in Chicago are much higher than in NYC because there is less competition. This is partially to do with Chicago's stagnant population (the city itself is holding steady, state is losing population), partially do to with the "unique" (read borderline corrupt) nature of dealing with the City of Chicago itself, and partly to do with Chicago just being more off the radar of national or internationally investors.
The key here is to identify which areas are on a long term upward trajectory, which areas are stagnant, and which areas are having serious issues. I've been able to find several areas where my properties have multiplied in value quickly, but I'm sure not every deal here is so great. Start studying neighborhoods or suburbs and try to learn about what is going on in each submarket.
These articles might interest you. There are a lot of misconceptions about Chicago's population decline. Our population is shifting more than declining but we do have our share of issues.