Afraid to refer to the city of Chicago! (5)
I believe the answer is:
windy
But I can't explain it at all! Could you help me understand?
(Other definitions for windy that I've seen before include "Chicago, the _____ City" , "The sort of weather" , "Gusty" , "Conceited - nervous - registering on the Beaufort scale" , "Timid - tempestuous" .)