Not sure what you intent is, but I travel with a SAK like the Tinker or the Tourist. I lived in downtown Chicago for a couple years, in Lincoln Park. Often I walked home from work which was on Michigan Ave by the river. I even went to night school at DePaul for my MBA which was getting a little southside in my view. Never had any problems. Just because it is a big city you don't need to carry a concealed weapon. Just be smart.
For personal protection I am a big fan of CCW firearms, knives not so much...
tjg