(129)Xe NMR has been recently employed to probe the local structure of ionic liquids (ILs). However, no theoretical investigation has been yet reported addressing the problem of the dependence of the chemical shift of xenon on the cage structure of the IL. Therefore, we present here a study of the chemical shift of (129)Xe in two ionic liquids, [bmim][Cl] and [bmim][PF6], by a combination of classical MD simulations and relativistic DFT calculations of the xenon shielding constant. The bulk structure of the two ILs is investigated by means of the radial distribution functions, paying special attention to the local structure, volume, and charge distribution of the cage surrounding the xenon atom. Relativistic DFT calculations, based on the ZORA formalism, on clusters extracted from the trajectory files of the two systems, yield an average relative chemical shift in good agreement with the experimental data. Our results demonstrate the importance of the cage volume and the average charge surrounding the xenon nucleus in the IL cage as the factors determining the effective shielding.