The Ferris wheel was the location Tris and Tobias climbed in the capture the flag game. It is located on Navy Pier.
Tris walked away from the group to climb the ferris wheel, so she could get a better look at the city and see Eric's team's flag. Tobias followed her on the way. He is afraid of heights so the climb scared him. Although, Tris kept climbing higher.
Veronica Roth added this scene in revisions.
They were close to cutting this scene from the movie.