Police detectives were on the scene early Monday morning looking for clues.
The women say they were taken from Chicago's South Side and held against their will inside the home and assaulted.
According to the Southtown Star, the victims were tied up. They managed to escape after one of the women chewed through the ropes and untied the others. The paper says the four then ran to a business a couple blocks away where they called for help.
Three are sisters, and one 14-year-old is a friend of the other teen.