Quick answer: Consume more calories than you expend and you will gain weight no matter what.
Protein does have fewer kilocalories (calories) than fat and the same as carbohydrates. Also, protein requires the most energy to digest so basically protein is the most difficult of the macronutrients to convert to fat but it can happen. Have you ever noticed you feel hot after a meal that is high in protein? That is your body actually expending energy to break down the protein you just consumed.
With that said, I've never heard of anyone actually getting fat off of a mostly protein diet because most people that consume huge amounts of protein do so because they are trying to maximize their results in the gym (meaning they probably expend a lot of energy). How many couch potatoes do you know that eat lean chicken and fish to the tune of 4000 calories a day?
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