M.M.
Go through your park district and look for their winter sports.
MIne are in fencing right now.
You might try the YMCA and do swimming or martial arts like Tae Kwon Do or KArate.
Basketball is a winter sport.
My now 21 yo did 6 weeks of gymnastics alternately with 6 weeks of swimming from the time he was 4 till about 8.