If your Form IL-1040 (Individual Illinois Tax Return) does not list any exemptions, it could be because they were phased out.
Per the State of Illinois, if your federal filing status is married filing jointly and your federal AGI is greater than $500,000, you are not entitled to an exemption allowance. If your federal filing status is single, head of household, married filing separately, or widowed and your federal AGI is greater than $250,000, you are not entitled to an exemption allowance.