You are staying in a really great part of the city - -it will be beautiful .
I am from Chicago and have a teenager myself. There are some really great ice rinks in Chicago in the winter. One is the "ribbon" which has been mentioned above. There is a rink at Wrigley Field (google Gallagher Way). Another rink I HIGHLY recommend, as it's pretty different is down in Hyde Park by University of Chicago (Midway Plaisance Ice Rink).
I am hard-pressed to think of "physical activity" type things besides ice skating in Chicago in winter .
If you can tell me more about what your teenagers enjoy, I can probably recommend more specifics.
A fun , different place to shop and eat is the "French Market" underneath Ogilvie Train Station. Really awesome "food hall" restaurants and there will probably be vendors selling some craft items there, too, at the holidays.
If they like to thrift shop , I can recommend areas of the city for that, too.
My favorite museums are the Art Institute and the Museum of Contemporary Art. The Shedd Aquarium and Museum of Sci & Industry will be OVERRUN with families w/young kids at Christmas.
My favorite theater is the "Lookingglass Theater" in the water tower. Small theater, cool shows, great area of the city. I would look to see which productions are playing at that time.
I am NOT someone who likes typical tourist attractions when I travel, so if you are like that, too, I can give you suggestions on what to avoid.
If you like professional sports, get tix to a Blackhawks game. Forewarning -- they are the most expensive sports tix in the Chicago market.
I suggest you do not get a rental car. Take a taxi from ORD to your hotel..
One of my favorite holiday activities , which is previously mentioned, is the lights at the Morton Arboretum. You will need a car for this -- in a suburban location. I would suggest perhaps getting a zip car for the day.
If your teenage girls enjoy afternoon tea, there is a wonderful one at the Peninsula Hotel. A real holiday treat.
I will add one more practical detail -- you all need BOOTS. If we get snow, your feet will be miserable without them.