Some people are never satisfied - having a good career in one field doesn’t stop them from trying to conquer some other venue and, most of the tme, failing miserably. Madonna, Bowie and Sting have tried with less than great succes. On the other side of the fence, we have Keanu Reves, Kevin Bacon, Johnny Depp.
Don’t quit your day jobs.
OTOH, there’s LL Cool J, Ice T, Ice Cube*, Jennifer Lopez and Jack Black - all of whom seems to be able to carry on two careers without losing credibility in either field.
Maybe I’m being a bit unfair, but what makes some of these people hing they’re gonna make it, working another career? Why would they even consider it (I’m looking at you, Michael Jordan), when they are already extremely succesful in their own fields?
*It seems as if being a former rap star is better for your acting chops than working with pop or r’n’r.
The Peter Principle.
Really – the book notes this phenomenon. When someone reached the top of a hierarchy and still remains competent, he tends to go into another field in order to reach his Level of Incompetence.
Still there are plenty of successes in both fields. Offhand, I’d list Bing Crosby, Judy Garland, Dolly Parton, Frank Sinatra, Elvis Presley (as a box office attraction, not a great actor), The Beatles, and Joe Pesci 
as people who were successful both as actors and musical performers.
Actually I have a theory about the rock star vs movie star thing. It’s sort of the grass-is-greener phenomenon, in that people tend to be wired for dissatisfaction with their current circumstances, no matter how nice, and look enviously but irrationally at other people’s lives.
A movie star’s performance is almost invariably isolated from the public. He or she will do the work on a film set, working lines in a trailer and doing two or three hours of acting per work day (if they’re lucky) in front of a camera and a couple of dozen people. Then they go back to their mansions, and a year later, the movie comes out, and they go on Leno to pimp it, and then it’s back to the mansion. They can walk the red carpet to get screamed at, or let themselves be stopped for autographs, but being adulated for celebrityhood is less fulfilling than doing one’s art for people and getting immediate feedback. They look at rock stars, who command the absolute love and attention of tens of thousands of people at a time in a big arena show, and are jealous. Movie stars rarely know that kind of direct audience power.
Rock stars perform directly for the public. Strike a pose or rip a power chord, and you immediately hear twenty thousand people howl in ecstasy. And yet, who’s on the covers of almost all the magazines? Who gets to have the actual sit-down with Leno? And whose face is thirty feet tall in the performance venue? The movie stars, that’s who. Rock stars are deities, but movie stars are gods, at least on these terms. Movie stars have a kind of abstract power that rock stars rarely if ever achieve.
It’s two completely different types of stardom, and people being who they are, it’s not surprising that one would get used to one sort of experience and envy those who have a different one.
Just my theory.