Steven Halpern, 64, apparently waited for traffic to clear before making a sharp turn and speeding into Lake Michigan at approximately 10:30 pm Thursday night.
Witnesses say he drove his car, a gold station wagon, down concrete steps directly into the cold water.
''As the car passed, he continued to go. He came across the curb, and I saw it as the car went down the stairs,'' said Kimberly Brown, a witness.
The fire department says that divers went in and had to break windows because the car was locked. They pulled him out of the water, performed CPR and rushed him to Northwestern Memorial Hospital, where he was pronounced dead.
"We immediately put a dive team into work, they went into the water and located the car. The car doors were locked, the diver had to break a window to do a search of the car and then located one victim in the vehicle," Deputy District Chief Ron Dorneker said.
"I couldn't believe it, I didn't know whether to call 911 or if someone was just lost and turning around down here. I had no idea what to do," said witness Melissa Espinoza.
Fire officials say no one else was in the car at the time. Authorities are calling this a death investigation.