We got O leaving "The Daily Show" Wednesday night in NYC ... where she was greeted by a throng of fans on her way out. It took a while ... but eventually, our guy asked Oprah what everyone wants to know ... why choose a fledgling streaming service over an established network with her friggin name on it?

Check out the vid ... she hints that Apple TV+ has a bigger reach than OWN, which was launched in 2011 in just over 80 million homes. And therein lies the answer ... OWN's reach is only in the millions.

As you know ... she teamed up with the Duke of Sussex to co-produce a new series focusing on mental health. It's slated to debut next year on Apple TV+. It's an issue that hits close to home ... so reaching a much bigger audience for such an important topic proved paramount.