Air carrier First Officer reported receiving an EGPWS warning while on the visual for Runway 9L at ORD and executed a go-around. The reporter stated there were no NOTAMs or anything in the ATIS regarding this issue.

Narrative

We were on the visual for Runway 9L into Chicago; everything looked good we were stable and just past the final approach fix around 1300 feet MSL. We got a terrain warning and executed a go-around. We were in visual conditions so there was some confusion as to why we got the Enhanced Ground Proximity Warning System (EGPWS) warning so we hesitated a bit with the go-around as we were established on the localizer and glideslope. We heard the 'pull up' aural and executed the escape maneuver into a go-around.Cause: Not exactly sure what caused the EGPWS as I have done this approach numerous times without issue. This was not a known threat prior to the flight so I think it could have to do with construction in the vicinity interfering with the ground proximity system. On the following approach we stayed high after the final approach fix and did not receive any annunciations.Suggestions: I think publishing a notice would be helpful to make pilots aware of this situation. There were no NOTAMs or anything in the ATIS about this. Not sure why nothing has been published but if crews know about the possibility of this they would be better prepared to execute a go-around.