It happened Friday at the Sears store on State Street.
The Chicago Tribune reports the child was with her grandmother who said she heard the girl call out just before she fell.
But the grandmother doesn't know how it happened.
The fire department says she fell more than 40 feet.
Sears released a statement saying: "Our thoughts and prayers are with the young girl and her family, and we are fully cooperating with the authorities in investigating the matter. Customer safety is one of our top priorities."