Chicago Tribune, July 31, 1920.
What an interesting question. Before we canvass the diversity of public opinion on this issue, let me advance a hypothesis: It's because Chicagoans are—and apparently always have been—the lamest, most bloody-minded drivers of the Western World. I speak here as someone who has lived and driven in both Quebec and New Jersey. There are maybe a dozen people in all of Cook County who use their turn signals. That's probably because if you do signal a lane change here, it merely stimulates the d-bag in your side view mirror to pull up and block you out. Mind you, non-use of turn signals wasn't the issue in 1920: Automakers didn't start offering them until 1939, and they remained a fancy option for a good while after that. Which is maybe why they're still seen as an effete affection here in the City of Broad Shoulders.
Yes, well, obviously this is a very complex question about which people of good will can reasonably disagree.