Beef Wellington is no longer as popular as it once was. Food fans who were in Chicago in the 1970s probably remember the Bakery, Louis Szathmary's restaurant, one of the very best restaurants in the city, whose specialty was Beef Wellington. The popularity of the Bakery was partly due to its moderate prices and casual attire, and IIRC it may have been BYOB.
Since that time, the popularity of French restaurants in general has declined, nationwide as well as in Chicago (see http://chicagobusiness.com/cgi-bin/mag/article.pl?article_id=26419 ). And many of those remaining tend towards lighter cuisine, rather than using components like the puff pastry and pate that are part of Beef Wellington.
So with this historical context in mind, the number of places where you can find Beef Wellington at all is quite small.
I see that Beef Wellington is listed on the menu at Bistro 110 on its website at www.levyrestaurants.com It's also on the menu at Pete Miller's ( www.petemillers.com ), the excellent steakhouse with locations in Evanston, Wheeling, and Schaumburg. I've eaten at both restaurants numerous times and they have always been excellent, but I have not ordered this particular dish at either place. It's also mentioned in the Metromix listing of Old Town Brasserie, Roland Liccioni's recently-opened restaurant (where I have not yet been) as a rotating special.