I recall my wife teaching in an elementary classroom and watching a tree fall outside and the roof come off another building nearby due to what was probably an F1 tornado in River Forest, Illinois, a suburb of Chicago. So bad things can happen. Terrorism is not a natural disaster, neither is failing and falling critical infrastructure, so OK it is not a bad list. I am trying to remember where the earthquake threat begins and ends in Arizona though.
See the list of the 10 US Cities Most Immune to Natural Disasters and come to your own conclusions. One thing I'll say is that Chicago did not have an Office of Emergency Management (OEM) until after the 9/11 attacks, which tells you something about the frequency and severity of disasters there.