If you jump out a window sitting in a chair and before you hit the ground you jump out the chair does that still mean your perfectly fine? Think about it ...

No. You have to lose a lot of momentum to slow down enough to survive the impact (obviously depending on the height of the building). In your scenario, you can only transfer that momentum to the chair, by pushing it downward with your legs.

Let's say you jump off a 10 metre tall building and have a mass of 75 kg. You will be travelling at about 14 m/s just before impact, with a momentum of 1050 kgm/s. You want to reduce that momentum to around 750 kgm/s (equivalent to falling from a height of 5 m, which is probably survivable and may leave you able to walk away), so you have to transfer 300 kgm/s of momentum to the chair just by pushing it with your legs. For a 10 kg chair that means accelerating it to 30 m/s (in addition to the 14 m/s velocity the chair and you are already falling at), which is rather difficult.

You'd probably be better off landing on the chair and hoping that the chair breaking absorbs enough of the impact.