Your command works, however it take a long time to "compute" the file, which is huge (5360469 rows, at least 185and after 215 MB downloaded, I didn't go furtheronly got 881705 rows, so the final file size should be about 1.3GB).
If you try with another set (let's say "Flu Shot Clinic Locations - 2012", 1058 rows, 192kB) you can see that your command works perfectly, even if it does not write to Chicago.csv.
Take a look at man page:
-o, --output <file>
Write output to <file> instead of stdout.
-O, --remote-name
Write output to a local file named like the remote file we get. (Only the file part of the remote file is used, the path is cut off.)
When you use the following command:
curl -O https://data.cityofchicago.org/api/views/ijzp-q8t2/rows.csv?accessType=DOWNLOAD > Chicago.csv
The data is written to rows.csv?accessType=DOWNLOAD, stdout remains empty, so Chicago.csv file will remain empty.
Instead, you should use either:
curl -o Chicago.csv https://data.cityofchicago.org/api/views/ijzp-q8t2/rows.csv?accessType=DOWNLOAD
Or:
curl https://data.cityofchicago.org/api/views/ijzp-q8t2/rows.csv?accessType=DOWNLOAD > Chicago.csv