The French forward went down clutching his leg after a challenge in the ninth minute of the 1-1 draw, but Chelsea boss Mauricio Pochettino (51) refused to blame the state of the pitch, which was less than ideal following the concert.
Nkunku, who was signed for close to 60 million pounds, came off midway through the first half in discomfort and he was later seen with an ice-pack strapped to his knee.
"The doctors are checking him and I hope it is not a big issue. He fell in the action which was maybe a penalty and he feels something in his knee, but we hope it is nothing big," Pochettino said.
"We hope he can be back quickly with the team. We need a few days to assess him."
The Soldier Field stadium has a capacity of 61,500 but a record 73,000 turned up for the concert which had fans on the pitch surrounding the stage.
"We took some risks because the pitch is not perfect. The facilities are used for a different sport and that is sometimes the risk of the tour," Pochettino said.
"We won't blame the pitch for the injury though. For me, it was bad luck."
Marius Wolf (28) scored for Dortmund but forward Mason Burstow (19) equalised in the 89th minute for Chelsea as the London side finished their pre-season tour unbeaten.
