Chili can refer either to a Mexican or Tex-Mex bean stew, or to any of the spicy peppers of the Capsicum family. "Chili Pepper" always refers to the pepper, while variants such as chili con carne ("chili with meat") always refer to the stew.
Note that
chili con queso
("chili with cheese") is a dip of cheese and chili peppers, not a bean stew.