I believe both industry require similar skill sets but it seems like the move is not that easy
You could possibly do that, especially with the right story in interviews. What's harder would be the other way around - trying to go from consulting to investment banking
I have heard of people in banking transitioning over to consulting with the common theme/story being "i couldn't handle the crazy work life balance and wanted to do something a bit more creative than just number crunching in excel" I really haven't seen anyone make the move from consulting to banking though. You can also do banking studies as a consultant, but this is definitely super different from being an investment banker.
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The industry doesn’t make the move easy, although it’s possible with a LOT of networking or an MBA of course