I agree completely with you, but Soldier Field, even though it's in the city, isn't an easy walk to fun bars/restaurants like Wrigley is. Hell, you can trip coming out of Wrigley and fall through a door and into a bar. Soldier Field is on a bit of an Island in that respect. And even though there some stuff to walk to, it's not the most pleasant walk in late November and December. Baseball is a bit of a different animal as when it's played its fun to be outside.
I think the biggest issue for the Bears Franchise though, is that if they build in Chicago, they are going to be renting the stadium, they won't own it. It may not be as fun for fans to be in Arlington Heights, but it makes the Bears Franchise a lot, lot more valuable owning it all and I don't see the McCaskey's holding on to it that much longer. With the death of Virginia, the ownership pie is getting pretty divided up and it's worth a lot more to sell it than try and divide up all the pieces with just the income the team makes.