Whichever partner asks that question has a big chip on their shoulder.If it were me I'd simply answer 'I've applied for both, they are both great firms and it'd be a privilege to work for either of them, I'm particularly keen on BCG for reasons x,y,z'If that isn't enough for them then they have a serious inferiority complex that would make me nervous about working for them. I would bet that more than 95% of people who apply to BCG also apply to McKinsey, and the interviewer is an idiot if they think otherwise.Of course, if you haven't applied for McKinsey then you should feel free to say why not and that can be the answer to your questions.