No, they aren't trying to fill in the city budget shortfall by looking for oil under Millennium Park. This, like the giant red T-Rex, is part of "The Big World: Recent Art From China" exhibit that is taking place in Millennium Park. This one is called "Kowtow Pump". There are three oil rigs created by artist Shen Shaomin. They're supposed to be caricatures of oil rigs so, instead of moving smoothly when activated, they will twitch erratically.
They remind me of giant ants from an old science fiction movie.