The 49-year-old singer took a group of 20, including friends and dancers, to bottle service boite Studio Paris, where they stayed until the wee hours, reported New York Post.
Earlier, Jackson was with her husband, Qatari billionaire Wissam Al Mana, at Rockit Bar & Grill while her dancers partied at another club, the Underground.
She played three sold-out shows in the Windy City this week.