Keisha Carmon, 41, left the area of 59th and Kingston in Downers Grove at about 4 a.m. Tuesday morning on foot.
The DuPage County Sheriff's Office says the whereabouts and the reason why Carmon left on foot is unknown.
Police say Carmon is about 5'5, weighs 150 pounds and has brown shoulder-length hair and brown eyes.
She was last seen wearing a black jacket, black and white hat, black boots and dark blue jogging pants.
Anyone with information should contact the DuPage County Sheriff's Office at (630) 407-2400.