Can you list some examples? When I lived in Chicago it was quite common for cyclists to shout this on the long lakefront trail, I wonder if that's the case there too.
> § 11-1512. Bicycles on sidewalks. (a) A person propelling a bicycle upon and along a sidewalk, or across a roadway upon and along a crosswalk, shall yield the right of way to any pedestrian and shall give audible signal before overtaking and passing such pedestrian.
No idea if the lakefront trail is classified as a sidewalk but there are at least some cases in Illinois where either a bell or a "on your left" are legally mandatory.