This happens to me consistently here among the NYC recruiters. When I was young and naive I fell for it, now I come back with, "I have a policy, out of respect for the other recruiters I work with, not to reveal where I'm interviewing or submitted until I'm in final stages. It's only fair, you'd like the same, wouldn't you?"

That usually makes them stop insisting. What I don't get is why some of my previous recruiters only ever call me to ask me that. Guess I'm just dead weight to them, OR there are too many recruiters and not enough open positions!