If you are young, you can do so without a worry in the world. If
you don't succeed, you can always come back. Its good experience
after all, different working culture, meet different people, build
your network... see how people abroad do things so well.
But once age catches up with you, you will have many things on
your plate. When to settle down, your family, your friends... life
is no more just about yourself. You can't afford to just leave
everything and just go like that...
Speaking from a perspective of having done that...