Well, 872 is a Chicago area code, but that number doesn't seem to show up anywhere. If you got that number from an e-mail you've been sent, it's almost certainly a scam.
However, the Federal Reserve Bank of Chicago (AFAIK, they never say "Chicago, Ill") is a real things, and is located at 230 South LaSalle Street. If you're in the area, they've got a pretty cool money museum you can tour on weekdays.
