The Governor's Wife by Michael Harvey

 This is part of the "Michael Kelly" series set in Chicago. Kelly is an ex cop, now PI. He gets a cryptic message promising him a boatload of money if he finds a man named Ray. As it turns out, Ray was the governor who was found guilty of a variety of charges and sentenced to 30 years in prison. On his way out of the courthouse, he vanished--along with millions of dollars. Once he starts investigating, Kelly realizes just want a can of worms he has opened. His life is in danger along with with the lives of anyone who tries to help him.  It's a compelling story.