CBR received a scooper report from Caroline Gilroy, who wrote ...
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I was staying in Chicago over the weekend and managed to stumble upon the set of The Dark Knight. I saw the same scene being filmed that Tom Stillwell saw in the ballroom of 111 E. Wacker, with Christian Bale dressed as Bruce Wayne and walking with three women. Michael Caine was also wandering around in his Alfred costume. There were a lot of extras in formal wear.
Apparently, this scene will be taking place in the interior of Wayne Manor, through the magic of CGI.
I went back the next morning and managed to get a photo before being run off by a security guard. You can't see much except for green screens, but the spiral staircase is visible.