It depends on who is holding the stock.
If you are holding the physical certificates for a stock, you can sell it any where you want.
If the brokerage firm is holding the stock for you, you have two choices
1- sell the stock with the firm holding it for you - it's easier and faster.
2- you can open an account with another broker/dealer, have your new B/D submit an ACATS form to the other firm for you, when the new firm receives you stock position then you can sell it through the new firm, however this is time consuming and can be expensive.
from the street