There aren't really any serious new entrants to the strategy consulting market! There are a lot of advantages to size/incumbency (reputation, relationships, costs, labor force, know-how/expertise, etc.).
That said, there are plenty of boutiques opening up all the time! Additionally, plenty of new consultancies are formed all the time in niche areas (Tech, IT, Cyber, etc).
But, in regards to our classic strategy consulting space (MBB, Big 4, etc.), there are no new entrants nor really threats of any.
The main threat is the actual business model changing, but that's exactly why BCG + Mckinsey have invested in their digital/tech capabilities!