I talked to Ryan Dempster a few years ago. That Dempster interview is on YouTube. When I asked him about his favorite city in which he's played, he responded with "Chicago". Maybe he was being a "homer", but he seemed very sincere enough.
On our recent trip to Houston, I asked him about his favorite city (not necessarily where he played). He did not reply "Chicago". Therefore, I think this adds confirmation to his previous answer.
In the video below, Dempster discusses his favorite city and why he was throwing a football in the outfield. Ryan is a real class act. Dempster loves Chicago and Chicago loves him!