Interviewing with other banks after accepting return offer?

Was a 2022 SA at a BB in a FO (but non-IB division) role. I received the full-time return offer from the BB after the end of the internship and accepted since I had no other offers at the time. However, I'm not really interested in the role and the role is located in a less than ideal location. 

Do you guys think it's worth it to apply and interview for FT opportunities at other banks and then renege if I find a better role? I haven't been interviewing at other places because I heard that banks often talk with one another and I didn't want my BB to find out that I was interviewing with other banks and then rescind my offer.

Is interviewing with other banks after accepting a full-time return offer at a BB actually risky (e.g., BB would rescind offer if they find out) or am I just overthinking things? 

Thanks