"LOCKDOWN FOR NAVSTA [Naval Station] GREAT LAKES RUN, HIDE, FIGHT! ...We are looking for a gate runner", the Facebook post said.
According to the statement, at 7:09 a.m. local time (13:00 GMT), "Naval Security Force reacted to a minor situation involving an unauthorised entry onto Naval Station Great Lakes".
The station is currently on lockdown. No victims or damage following the incident have been reported.
The Naval Station said that further announcements will be made as "additional information becomes available".
The incident comes after a Saudi pilot trainee opened fire at the US Naval Air Station Pensacola in December last year, killing three US sailors and wounding eight others before the authorities shot him dead.
Shortly after the incident, the United States terminated all operational training for Saudi servicemen for an indefinite period.