This is another outstanding question. More than likely in this scenario, the local police department would first try to locate the individual in need. This is done by using cell towers to locate a general area of the cell phone and in all likelihood the location of the person threatening suicide. If that information then revealed that the person was in the city of Chicago, your local agency would then notify the proper jurisdiction to have them attempt to locate that subject. This scenario becomes more complicated if you were the one who received the threat. The police will be limited in this event because you must witness the suicidal statement in order to have them evaluated at a hospital in most cases.