According to police, around 1:40 a.m. the 20-year-old was walking with two friends in the 100-block of North Lake Shore Drive when he decided to jump in the water.
The victim's friends called for help and Chicago Police Marine Unit officers were able to rescue the man from the water, police said.
He was taken to Northwestern Memorial Hospital in critical condition, police said.
It's unclear why the man jumped in the water. Police sources say the man had been drinking before he jumped in the lake.
Police are still investigating.
A beach hazard warning remains in effect through Friday morning, warning residents of dangerous swimming conditions with waves reaching as high as 7-feet.