If you want something with more knock down power than a 9mm and carry in a purse rather than a holster, the .40 is a great size. I don’t want to carry a cannon (.45) but want something a little stouter than a 9mm.
I am a 40SW fan as well but you may wish to try 9mm Makarov.
The KGB used it for 60 years. That’s quite a testimony.
You can do the same trick with the compact Glock .40 calibers, and the compact 9mm and .357SIG.
One gun platform, three calibers. Pretty cool.
When I first got my CWP I bought a Glock 23 (.40 cal). After I'd carried it for about a year I started reading more on terminal performance. Eventually I settled on a S&W 457 (.45) with 165 grain Cor-Bons.
Believe it or not, with the lighter bullets the .45 really doesn't kick much harder than the Glock .40, but the round that's going down range is carrying a lot more punch with it.
Other times (summer mainly) I carry a S&W 3953 (9mm) which is much thinner, smaller, and easier to hide when you aren't wearing as much. With Cor-Bons in that (115 grain) I feel completely adequate.
I guess what I'm saying is that with the “standard” loadings the .40 may make sense, but with the availability of lighter but faster rounds, you can just about make any caliber do whatever you want.
Want more knock down power than a 9mm (9x19 NATO) get a CZ 52 in 7.62 x 25. That round smokes!