In the strip club world neither are considered great cities. I don't know much about Denver, so will only comment on Chicago.
In general, the clubs actually in the city of Chicago are considered high cost and fairly low contact. The better clubs tend to be in the far south suburbs, just across the border in Indiana, or in the Melrose park area near O'hare.
My personal favorites are Club 390, Atlantis and PoleKatz, all on the far south or southwest side of the city. Generally decent two way contact and some pretty attractive dancers for not too high of a price. I have had some good times at Industrial Strip in Indiana but it has been a few years so can't really comment if it is the same. I would avoid Scores and Heavenly Bodies. Admiral Theater is probably the best club in the Chicago city limits.
I should mention all of these clubs other than Admiral Theatre are well outside the city so if you are not getting a rental car the taxi/uber prices will be high.
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