We don't do much in the way of all-steel construction anymore: it wouldn't surprise me if the "rickety" steel approach would actually cost more than concrete in today's economy.
(Not that I think we'd look to build "rickety" new construction in any case.)
The elevated steel tracks have not "held up just fine" in Chicago. They've been neglected for decades, and they recently had to shut down a major line for almost two years just to perform necessary deferred maintenance--essentially, rebuild the line--to keep it go.
This is the rickety sort of elevated track that has held up just fine in Chicago for nearly a century: http://www.chicago-l.org/trains/gallery/images/2400/cta2483.....