George Davis, 63, fell three stories down a pulley system shaft at 171 N. Wabash Ave.
Davis was taken to Northwestern Memorial Hospital where he died.
The pulley system is normally used by employees. Davis was a patron and did not work there.
Authorities say the device has been closed to the public and generally blocked by gates.
Family members say Davis and his wife were celebrating her birthday and Valentine's Day. He had dropped her off at an Anita Baker concert Saturday night before going to park.
Davis was a U.S. Marine Corps veteran and had worked for years as a security guard at Chicago's federal courthouse.
His niece, D'Andrea Anderson, tells the Chicago Tribune that Davis wasn't the type of person who would try to take a closed lift.
The Associated Press contributed to this report.