Fair point. Seems to be Amazon strategy though, after looking at their distribution center map: https://scmmsublogs.wordpress.com/scm-strategies/amazon-com-...
Wouldn't be surprised to see Chicago added to the list of supported cities soon, but Houston, Minneapolis, and Kansas City are all pretty far from current/planned distribution centers.
Chicago might have a bit of a unique problem with traffic to and from warehouses as well. Real estate is very expensive in city limits and the infrastructure here doesn't support the model all that well. I bet they could manage, but it's got to be a significantly higher start cost here vs. other metros. This would be a city to invest in AFTER vetting out the model in cheaper cities.