The short answer is "because they can". All MBB firms have significantly more applicants than they can or want to take, and those applicants accept these wages. Which, by the way, are significantly higher in Belgium than 3-4k (at least for consultants). What these applicants see is a competitive package that offers a competitive salary, but also goes beyond. Some are interested in a diverse, interesting work environment, some are interested in that they never quite run out of things to learn. And then, of course, there is the brand recognition. Almost everyone knows of MBB, and former consultants are highly sought after. It basically guarantees that you will always have a competitive job offer. This can be highly desirable in particular for applicants with a non-traditional background, which might have a hard time finding a job otherwise.
Just some of the many things that MBB offers apart from the salary... I hope this helps!