According to reports The Dark Knight Rises will not follow Batman Begins and The Dark Knight by shooting in Chicago. Here is what the report had to say:
“Detroit won out over Chicago as a location for writer/director Christopher Nolan’s latest Batman entry, The Dark Knight Rises. Instead of shooting here, as originally announced, the movie will film in Detroit. Starting in May, it also will shoot in New Orleans, and two locations in the UK.”
Michigan has become a popular location to shoot recently, due to enticing tax incentives for filmmakers. Recently Tranformers: The Dark of the Moon, Scream 4, Real Steel and A Very Harold & Kumar Christmas have all filmed there. The Dark Knight Rises will also shoot in Los Angeles, but some shooting in Chicago has not been ruled out.