Although Chicago is known as the Windy City, it is in fact less windy than many other major American cities. Average wind speeds range from 8 miles per hour (13 km/h) in late summer to 12 miles per hour (19 km/h) in spring months.
A flue is a duct, pipe, or opening in a chimney for conveying exhaust gases from a fireplace, furnace, water heater, boiler, or generator to the outdoors.
Evidence of this is the cold draft and smell you are experiencing. The fireplace damper is often the path of least resistance for air to enter the home. So if you run a kitchen vent fan or bathroom fan or anything else that exhaust air out of the house your home will start sucking air down the chimney. To fix this issue you can put in a chimney balloon low by the damper and that will seal the fireplace flue tight so the smell and draft cannot enter. I have used the clear balloons since they come in plenty of size variety. This should take care of the smell and cold draft in one shot.