Because "Other Firm" isn't hiring me!! =) Generally, I believe it's the smaller firms that ask this question. I would like to take it as a compliment. You are so good that this small firm can't believe you would think of joining them as opposed to a McKinsey!!

I personally work in a small consulting firm. Definitely not my first choice, but now that I am here, I can see why someone would want to work in a small firm as opposed to a large firm. Some reasons are -

► I have an entrepreneurial streak. I want to work in an environment where I can experience all aspects of a business' operations.

► I want to be a part of the company's growth.

► The relatively flat organizational structure.