Unlike the 2007 blockbuster sequel The Dark Knight, the second sequel to Begins, Rises will not be filmed in Chicago...
Rumour has it that Detroit will fill in for Chicago on Warner’s “Dark Knight Rises”. Filming is also said to be taking place in Los Angeles and the UK. There was a rumour floating around for a while that the movie would be shooting in New Orleans – not so. (Source : Reel Chicago)
Thanks to Moviehole for the excerpt.