That's what used to be known as a gasholder. It was a big reservoir that telescoped up and down as the volume changed. It served the same purpose for natural gas as a water tower...besides holding a large volume of gas, it also served to maintain constant pressure in the lines.
There was another big one on Kedzie between Pratt and Devon, and a couple of others at Oakton and McCormick. I believe they were dismantled in the 1960s and 1970s as they became obsolete and better means of maintaining pressure were developed.