This question really depends on the circumstances of the interview. If you have been headhunted, are currently in employment and not particularly looking until you were approached then it would be perfectly acceptable to give a straightforward answer. If not, you need to consider your response very carefully.
If you give an affirmative answer and say that you are considering alternative vacancies as well you leave yourself open to cross-examination and also for the potential employer to question your commitment to them.
If you go the other way and say that you are putting all your eggs in one basket then a company will again question whether you are telling the truth and also whether you have a sound business mind if you are taking such a large gamble.
Usually the best way of answering this question is to say that you are considering other positions and that these are with companies or firms of similar standing with similar positions and to give a fairly low number. In this way you do not leave yourself open to cross-examination by the interviewer and you give them an idea that you may be in demand elsewhere and that maybe they ought to seriously consider you.
Examples of Answers
“Yes. I have made half a dozen applications to companies or firms of similar standing to yours for positions at the same level and I hope to hear from all of these fairly shortly.”
“Yes. I have made three applications to x, y and z for positions as a, b and c and am currently in the recruitment process with a response due shortly. Obviously if you were to offer me a job I would consider this very seriously.”
“No. I have not had any other approaches from companies at this stage although I am not actively looking for work at the moment.”