The lot was located at 21st Street and Marshall Boulevard, and the incident appeared to be caught on camera.
The car heist took place in less than two minutes, according to some of the cars' owners.
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The thieves used some kind of remote transmitter similar to a key fob that allows cars to be started remotely, two of the car owners said.
"They were very talented with what they did," one said.
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"I'm like, 'Is there something that we're going to be combat this with?' Because great, I get my window fixed, and now I get my car back, and they know my car is just sitting out here again? What happens then?" another car owner asked.
The two car owners said their cars were found at an abandoned garage at 95th and King Drive.
Chicago police did not immediately provide any details about the incident.