Didn't see it personally since I'm down in WV, but I've been tracking UAP reports around the Great Lakes for a while now and Lake Michigan keeps coming up as a hotspot. Got a few contacts in Illinois who've reported lights in that area over the past couple years.
What was the movement pattern like? That's the thing I always want to know first - steady drift, erratic, hovering? And did they appear to be at a consistent altitude or were they changing height? If you managed any photos or video even on a mobile I'd genuinely love to see them, grain and blur included because thats actually more useful sometimes than people realise.
Also what direction were you viewing from, north or south shore? Makes a difference for ruling out conventional stuff like aircraft stacking for O'Hare.