First thing to point out is that it's a misquote from Peter who asked Jesus "Lord, whom else shall we go to?" John 6:68
As usual JWs discursively displace Jesus and put the organisation in his place, so they ask "where" rather than "who".
I believe Slimboyfat's answer is the only one that might help you to stay out of trouble, if that is your wish. Always be prepared for THAT question. There probably are no other answers that won't get you labeled as a suspicious case, unless you don't give a f*#k about future elder visits, phone calls, thread of jc's etc. Make it VERY clear it is not Christ you want to leave, even if you feel you are agnostic/atheist, because there are always at least some good christian principles that still can have your support, right? Don't make 'em wiser than necessary. Point respectfully to the true meaning of the verse without giving the impression of knowing it better (although you DO know it better ). It sure helped ME when I had to get rid of a few elders during the start of my fade. No, it wasn't Christ, it wasn't the bible (fingers crossed), it was just the pressure of running a family with children (1st reason) and a few questions that needed some more time (2nd reason, always 2nd, never the 1st reason for being weak/discouraged!). Avoid to talk about the "organisation", that is the most sensitive issue, don't give them any ammo (power)