That doesn't necessarily hold true.... Just because you are naturally gifted at one sport, doesn't mean you would be that good at all sports.
I seriously doubt Brett Favre would have ever had the speed or footwork to play soccer...
Favre is a good QB, but he is not a athlete on the level of some of the people Ive listed.
Some would fail at soccer probably, but when you read about Thorpe successfully competing in almost all track and field events, was a lacross star, dominating in football (on offense, defense, and special teams), winning a national ballroom dancing competition, setting a decathalon Olympic record that stood for two decades, gold Pentathelete (including a 3rd place finish in an event he hadnt ever tried before that year) and be drafted in all professional baseball, football, and basketball leagues, its hard to imagine he would not succeed in Soccer if he chose to play it.
Jim Brown was a track star, leading scorer on the basketball team, and possibly the best lacrosse player of his decade. He also is generally considered the best running back who ever lived.
Everyone should be more familiar with the other guys, putting Paul and LeBron in with the rest may be an exaggeration, but I wanted to put some more current examples =D