260 people had gathered in the venue to attend a hard rock concert when the roof of the concert hall in the city of Belvidere collapsed.
At least one person died and 28 people were injured, according to the rescue service.
The police's initial assessment is that the roof collapsed when a tornado swept over the city.
"Chaos, absolute chaos," Police Chief Shane Woody describes the situation at the scene to the AP news agency.
40 tornadoes in six states
According to the U.S. Weather Service NOAA, over 40 tornadoes were reported in six states on Friday night.
In the town of Little Rock in the state of Arkansas, at least one person has died and about 20 have been injured, some of them seriously, according to authorities.
At the city's Clinton National Airport, all flights were canceled, and passengers and staff were ordered to temporarily seek shelter from the storm in toilets, among other places.
From the town of Wynne in northeastern Arkansas, two more deaths are reported.
- Wynne is demolished. The houses are destroyed, the trees are down in the streets," Lisa Powell Carter, a member of the Wynne City Council, told the AP.
In addition to Illinois and Arkansas, tornadoes have also affected Iowa, Wisconsin, Tennessee and Mississippi.
New weather warnings
Meteorologists have issued weather warnings in at least 15 states for the coming days.
"There will be a lot of thunderstorms, tornadoes, high winds and hailstorms," Victor Gensini, an Illinois meteorologist, told the AP.
Friday's severe storm hits the U.S. just a week after 26 people died in Mississippi, also as a result of a storm involving several tornadoes.