As written above, the Gulf Stream helps north Europe to be ice-free, all the way to the north of Norway, at latitude 72 north! But there is also the fact that western Europe has a maritime climate, as opposed to Chicago.
The water is 300 times denser than the air and during the summer, it stores heat energy that is then released during the winter. It also has a diurnal effect, making the nights less cold than inland.
Rome, that you compare to, is on the shore of the Mediterranean. Chicago is on the lee side of the Rocky mountains, in the middle of the American continent. If you want to compare, you are on the same latitude as north California, which also has a milder climate during the winter.
I live in southern Norway and my sister, in Quebec (we, Belgians, like to emmigrate! ;-) She complains about the cold weather in the winter. I keep telling her that she lives at the same latitude as the Alps in Europe and if it can get cold in Quebec, the days are longer and the sun is higher.
Here, near Oslo, at latitude 60 N, at this time of the year, we get only six hours of daylight. It is dark when I go to work and it is dark when I come home and if the sun shines, it is only 7.5 degrees over the horizon at noon. In Chicago, the sun is 90 - 41 - 22.5 = 26.5 degrees over the horizon at noon and the winter solstice.
So ... enjoy the sun, my friend! ;-)
EDITED: Sorry, I forgot to mention it: Chicago has a typical continental climate, that's what it is called.