The sun will set in which city last chicago paris london new york

According to the way we count time on the round planet on which we live, the sun would set last in Chicago.  Of the cities mentioned, it's the furthest west from the International Date Line.  The International Date Line was decided in 1884 as the line between days on the 24-hour cycle of the globe.  The Date Line runs north and south through the middle of the Pacific Ocean.  So the sun would be rising and setting first in Paris, then London, then New York, then Chicago as you move from east to west in regard to the cities mentioned.

Bear in mind, the place on the map where we established the International Date Line was a choice.  If we had set it in the Atlantic Ocean rather than the Pacific, that would change the perspective on what time it was where!