Police said she got into a cab, alone, supposedly to go home but she never made it.
Tuesday night her father is pleading with anyone who might know the smallest bit of information to come forward.
"She's a great kid, walk in the room, she would light it up," said Bernie O'Connell, father.
Bernie O'Connell -- fighting back tears -- said he is frightened that something terrible has happened to his daughter.
20-year-old Katie O'Connell hasn't been seen since about 3 a.m. Sunday.
She left the home she shares with her father in Oak Brook, in a limousine along with about 10 friends to celebrate her birthday.
And even though she was underage, friends tell police Katie did make it into a nightclub called "The Underground."
"I'm sure she was drinking, we had talked about the drinking before she went out, we had a plan and I thought it was safe. Unfortunately she separated from her friends," said Bernie O'Connell.
Her father said Katie told the friends she was with that she was tired and was going to head home.
Oak Brook Police say the last time she was seen by anyone was while getting into a cab near The Underground. She hailed a cab alone but they don't know which cab company.
"We're very hopeful she's going to turn up. We're hoping she sees all this commotion, a friend gets in touch with her - tells her she has got to call home and talk to your dad," said Mark Kozlowski, Oak Brook Police.
Police describe Katie O'Connell as 5' 9," about 125 pounds, with brown hair and blue eyes.
She was last seen wearing a white blouse, black skirt and a three quarters length red coat with eye hook buttons. In fact, these photos were taken by a friend on the night Katie vanished.
"We don't have any information. She just kinda vanished into thin air, really scary for me and my family," said Bernie O'Connell.