In the 1920s, Chicago was home to some of America's most infamous gangsters, including Al Capone, Bugs Moran, and Tony Accardo. In 1929, the infighting between Chicago's gangsters led to the Saint Valentine's Day Massacre. Chicago was also home to John Dillinger, the notorious bank robber.

In chapter 3 of The Great Gatsby, we hear that Gatsby receives a call from Chicago. His butler "hurrie[s] toward him with the information that Chicago [is] calling him." In chapter 7, we learn that Gatsby and Wolfsheim own "a lot of side-street drug stores ... in Chicago," where they sell "grain alcohol over the counter." The selling of alcohol was of course a criminal act at this time, during the period of prohibition. In chapter 9 Nick answers a telephone call, at Gatsby's mansion, from Chicago, and talks to a man named Slagle. Slagle, thinking he is speaking to Gatsby, says that "Young Parke's in trouble," and has been "picked ... up" while "hand[ing] the bonds over the counter." When Slagle realizes that he is not speaking to Gatsby, he goes silent and then hangs up.

These frequent links between Gatsby and Chicago associate Gatsby with the criminality for which Chicago was known. The implication is that Gatsby's tremendous wealth has been acquired through very suspicious, criminal means. We are perhaps meant to infer also that Gatsby is somehow connected to the activities of the aforementioned gangsters. These implied connections of course indicate the extent of Gatsby's love for and obsession with Daisy. He has acquired all of his wealth, through criminal means, all so that he can one day be with Daisy again.