Part of the reason is that it is actually illegal* to shore dive Lake Michigan in the city of Chicago, which is the largest population center along the lake and covers the 30 miles (50km) of lakefront from the Indiana border to Evanston.
* - OK, technically, you could do it from private property with permission, but almost the entire lakefront is under the jurisdiction of the Chicago Park District which prohibits entering the water at all except at designated "bathing beaches" and prohibits diving at those beaches under Chicago Park District Code Chapter 7 B.4.b(3)(e): "No person shall swim, dive or enter the water fronting any bathing beach while wearing or carrying an air or gas tank or tanks for the purpose of underwater breathing in the activity commonly known as skin or scuba diving."
There is an exception written in the code if the Park District specifically designates a location for shore diving. They have done so in the past, but I have verified with them that there are currently no such designated locations.