From my point of view: she insisted on knowing, so I figured by mentioning the bank offer that she would get a sense of my salary range and in-turn value to another company.
Honestly, as someone who has an interest working with large data-sets, I took her remark ("who wants to work at a bank?") as somewhat insulting. This specific interviewer was not a hiring manager, but rather questioning me for "cultural fit". I asked how long she had been with said company and she admitted "less than three months," which surprised me. I really got the sense that her hating on banks was regurgitated water-cooler verbatim, because she definitely had no experience working for one.
As a young professional working in technology, I think banks present interesting big-data challenges.