TJ Grady, a police sergeant, said the attack appeared to be a robbery that went "rather poorly".
Grady told a news conference that the attacker had apparently left the area in the suburbs southwest of downtown Chicago.
But he declined to say whether the victims were customers or employees.
He gave no ages and said authorities were trying to reach the victims' families.
"Every store was immediately canvassed and a search by air, too, has given us every indication that the offender has left the scene," Grady said.
Police were looking for a black man about 1.5 metres tall and weighing 110 kgs, dressed in a black waist-length winter coat, a black cap and black jeans, he said.