A friend of mine works for the Illinois Fish and Wildlife Services.
We had this discussion last year. She said they have been tracking cases of cougar sightings in Illinois for several years and had confirmed some on occassion. It takes a certain amount of confirmed sightings for FWS to officially say there are cougars in Illinois to protect so they encourage everyone to report their sightings.

A good article on this subject can be found online at the Champaign News-Gazette, Jan 6, 2003 edition, titled " Guess who is quietly sneaking back into our state?" You can read that article here.

http://www.news-gazette.com/story.cfm?Number=13013