When the sirens go off, we don't give AF. Nothing enters the city.
When I moved here, I remember working on a highrise in the loop when all these air raid sirens went off. I looked around and no one seemed to even acknowledge it. I said "is anyone... Hearing this? Shouldn't we like... Do something?" And then someone said "oh yea those just do that. First Tuesday of the month or when there's a tornado that we also don't care about."
Chicago is called the Windy City because a lot of square architecture has led to wind tunnels, but they also serve as an extra purpose of breaking up big winds and not allowing room for tornadoes to bloom.
In fact, many tornados also don't occur towards the south suburbs sometimes because Chicago just blocks all the lake Michigan wind.