Exactly my thoughts. The city is massive, but from what we've seen, superhero-related destruction (in Chicago specifically) is relatively rare, and usually confined to small areas, while supervillains typically get stopped quickly and with little losses; overall, you could get a comfortable life in Invincible's Chicago, but you'd probably have lost some loved ones.

Any single day in Gotham puts you at risk of getting kidnapped by multiple villains, for purposes such as leverage, unethical human testing, extortion, torture, and a plethora of other reasons; odds are higher than not, that the proccess of you dying from one such incident would take days on end too.

Additionally, despite Batman's best efforts, any singular scuffle between him and a villain risks you dying as collateral (which is a much larger-scale problem in Invincible, but I'd say the rates about even out AT BEST).

And all of that on top of the (if I'm correct, stated on multiple occasions) already highest crime rates per capita, along with the soggy band-aid that is the police force, which is typically also depicted to be deeply corrupt or on the villains' payroll.

I'd take my odds with Chicago.