( قَالَ أَغَيْرَ ) (He said, “Is it other): A question is raised here.
( وَهُوَ فَضَّلَكُمْ عَلَى الْعَالَمِينَ ) (while He has preferred you over the worlds?): Prophet Moses (PBUH) explained to them why this was an ignorant request, saying to them that Allah (swt) favoured them above the people Pharao, and over all other people. Yet, they asked Prophet Moses (PBUH) for another deity other than Allah (swt). (God) is the One Who is worshiped and obeyed. (God) must have a divine command. We do not create or make a (God) according to our desires and preferences. Lordship requires enjoining obligations. Allah (swt) says:
وَمَا خَلَقْتُ الْجِنَّ وَالْإِنسَ إِلَّا لِيَعْبُدُونِ
(And I did not create the jinn and mankind except to worship Me.) (Adh-Dhaariyat: 56)
Worshipping means obedience; so there should be commandments and prohibitions to be followed. His (PBUH) words implied admonition since he reminded them of how Allah (swt) had favoured them above all men.
There are those who claim that the Holy Quran says that Allah (swt) chose the people of Israel over the people of the world and that should mean that they are God’s chosen people. This claim is wrong and untrue. When Allah (swt) says that He (swt) has chosen them over other people, it is because of the many Prophets (PBUT) who were sent to them. It only means that they have many maladies that they require such a large number of Prophets. Nonetheless:
وَجَحَدُوا بِهَا وَاسْتَيْقَنَتْهَا أَنفُسُهُمْ ظُلْمًا وَعُلُوًّا
(And they rejected them, while their [inner] selves were convinced thereof, out of injustice and haughtiness) (An-Naml: 14)
They rejected them. Sometimes, to be given so many blessings could be a trial. Saying: (while He has preferred you over the worlds?), it means the people in their time, but not over the whole of mankind throughout eternity.