Looking for a new job

you're approaching this all wrong. 

You shouldn't be looking at it like an open-ended question without doing your own due diligence. 

If you received a new project, you'd ask clarifying questions, and with that said, I have a few: 

• What aspects of consulting do you enjoy? 
• What industry or functional exposure do you currently have? Do you like the funciton/industry or are you trying to rotate out? 
• What is your ideal work-life balance split? Are you willing to work more/less or the same hours? Or more to the point of finance, more/less volatile hours? 

If you could define your ideal day/week/month what would you like to be doing? M&A analysis for potential targets? fundamental analysis of a new startup? New consulting engagement for PE thesis and investment mandate? All of these are very different in scope, function and length, so wanting to doa ll of them is a very broad approach to recruiting. 

Once you've done your homework in narrowing your focus, the next step is to create the infamous market map. You want to find the top 20 firms, teams and positions that if you recevied the offer today, you'd sign tomorrow. And then the next 20, that may not be exactly what you want, but get you the relevant exposure into that industry or close enough to that function, so on and so forth. So for instance, if you wanted to join a PE Consulting firm (like FTI or A&M) in their quant. team for 13-week cashflow analysis and corp. restructuring work, maybe you instead found an opening on the PEPI team or some smaller team not as competitive. That gets your foot in the door and gets you one step closer. 

Anyway, from here, you reach out through warm connections and cold connections to see: (1) hiring practices, (2) where you might have a competitive edge/areas to build, (3) culture, recruitment experiences/advice, etc. 

After that, you take on the role of Sisyphus and the hill by applying continuously anywhere from 2-6 months (maybe longer) into NYC, Chicago, or other cities you'd find livable. 

You'll notice none of this includes asking a very broad question on an anonymous forum with no specific answer in mind. If you've worked in Management Consulting for 5 years, you should know at least one person who's exited; the fact you haven't so much as heard about it is suspect. 

90% of management consulting is watching your colleagues and mentors leave year after year as you yearn for the right opportunity to do the same.

The claim that you've been in consulting for 5 years but don't know the popular exits / exit routes seems pretty unlikely.