The terms are somewhat interchangeable to me, and you can refer to yourself either way if you are doing contract work. But I think freelance has a more individual aspect to it - you are working as a solo person (ie Joe Smith). When you start calling yourself a consultant, you might be working under a business name ("ABC Corp" for example) even if it's still just a one-person company. That might also involve how you invoice your clients as well.

Of course these are just my own impressions, there's no firm rules as far as I know for calling yourself one vs the other.