Like some dozen others here, if it weren't for the money.. sure, I'd run a bike shop, with a frame building shop in the back room.
As careers go though, what we do is interesting, ever changing, and an exercise in learning almost every day. Oh, and the pay kicks ass. So, yeah, I've thought it. Lots of us think it all the time, but really, we've got a great job, so while the grass may be greener over there, it's pretty green here too.