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What's the big hurry, as in We've got to finish up.? Why, where's the fire? This phrase, generally addressed to someone in an unseemly rush (such as a speeding motorist pulled over by a police officer), alludes to firemen hurrying to put out a fire. [Slang; 1920s]
American Heritage Idioms
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Phrase(s): Where’s the fire?
Inf. Where are you going in such a hurry? (Typically said by a police officer after stopping a speeding driver.) • Officer: Okay, where’s the fire? Mary: Was I going a little fast? • "Where’s the fire?" Bob called ahead to Sue, who had gotten well ahead of him in her excitement.
McGrawhill's American Idioms And Phrasal Verbs