Most of those immigrating couldn't pick out places like Chicago and many places on a map before they came --- they aren't just aimlessly crossing the border and wandering up to Chicago or their other destinations, filling out job applications up and down every street they come across. They're being locked inside semi-truck trailers and train cars ----often while still in Mexico and are being shipped to their destinations.
Also who decides where the Mexican government can put up it's Consulate offices?