I know people who have left PhD programs in management (though typically before graduation). Usually they have returned to their previous professions or industries. I know of a few graduates who've gone into consulting, including to some of the leading firms. These people have usually had previous work experience.

It's rare for management graduates - in comparison to finance graduates - from good schools to go into industry or consulting. In part, this is because those who are attracted to the non-academic path rarely stay around for five years. They quit sooner - mainly because they realize that a PhD in management doesn't add much value if you're not intent on being an academic (at least early in your career - later you can consider other options). In short, with a PhD in management you'd probably be employable, but your entry level wouldn't justify five years of additional study.

If you're not entirely sure whether an academic career is for you, then make sure to choose a PhD program that awards a master degree after completion of the coursework (usually two years). This would allow you to leave at a natural break in the program with a degree - better than nothing.