I think there were several contributing factors, economic, and geo-political. But you'll have to take The Jump to read about 'em...
For one thing, I think the world took a look at the sorry-ass state of civil rights in the USofA --in particular, the apparently random official interference with privacy and property--under the regime of the PATRIOT ACT, and its many off-spring, and decided that there would be
and that would or could discourage both travel and competition.
too many hassles, from
too many dumb cops, and
too many troglodytic TSA "inspectors," and
too many ignorant, uncivilized, parochial
who would stupidly, arrogantly interfere with
too many people and athletes
from too many countries
on too many lists, for
too much trivial shit
And so they said Phuque the National Security States of America...As I, under the same circumstances, would also have done.
Plus, the IOC, being one of the last semi-public strongholds of the Oligarchy, would prefer Rio's bid because there is a far greater likelihood for successful graft, theft, and embezzlement, while offering the local oligarchs an excuse to "clean out" some undesirables from favelas and colonias, which will be condemned to make land for the Games...Think of the the opportunity that the Beijing Olympics presented to the Chinese plutocrats!
I also think Obama made a mistake personally appealing for the Games, risking and now losing political/symbolic capital, given the almost certainty of him failing--in view not only the distinct unpleasantness of the US attitudes towards visitors lately, but also because of the geographic claim Rio exerted, being the only South American bid ever to reach this stage.
Chicago's problem was compounded, then, by too much oversight and not enough room for really large-scale corruption.
And then there was that business about renaming the Sears Tower (pictured above). Who's to say the sumbitches wouldn't try to change the names of the Games?