Joseph "Jose" Banks, 37, and Kenneth Conley, 38, were still on the run hours later, the Chicago Tribune reported. SWAT teams raided a house owned by a relative of Conley but found it empty with signs the fugitives had been there some hours earlier.
Police Sgt. Michael Lazzaro said the pair apparently made their way through a narrow window and down the side of the building after a 5 a.m. check. They were discovered to be missing at 8:45 a.m.
"A rope was fashioned out of bedsheets," a spokesman for the federal Metropolitan Correctional Center said. "I would imagine that they saved them up."
Both men had been found guilty of holding up banks, Banks only last week. Banks, who stole $600,000 in two robberies, with $500,000 still missing, was nicknamed the "Second-Hand Bandit."
Theresa Ann Banks pleaded with her cousin to surrender.
"I just don't want to see him get hurt or killed," she said.