Hey, why are all those people singing? Because this is a musical. But Chicago is a certain type of musical that integrates the songs into the story, instead of just having people burst out in ABBA songs or agonize about not being able to pay their rent in the key of C-minor.
They way Chicago integrates the music into Roxie's mind makes it a satire. Roxie wants to be a celebrity so badly that she imagines life itself as a musical. As a result, her life becomes all about fame. And the general public loves it, so they give her the fame she wants. It's a cycle of celebrity that was on point in the 1970s, when Chicago hit Broadway; valid in the 2000s, when it hit the big screen; and likely valid whenever you're reading this.
People will always do crazy things for fame and then try to glamorize it. Chicago does it with catchy musical numbers and humor, making us part of the cycle. We watch Chicago because the stars in it are popular, and the stars are popular because we watch them. It's a circle that's as vicious as Roxie Hart… and equally entertaining.