Question about McKinsey's "up-or-out" culture

I am applying to McKinsey straight out of university for the management consultant position. I see it as potentially a great place to work for a couple of years, and then go on to pursue bigger entrepreneurial goals. McKinsey people seem to acknowledge this, even having a video about "What McKinsey people go on to do" in their marketing material. Is it a faux pas to hint that I want to go on and do other things as a McKinsey alumna, making them look great, but not growing within the company?