In general, they don't have other skills. Being able to take a suplex doesn't really translate to most white collar jobs.
They can also be messed up physically and mentally due to the toll of wrestling, traveling, and drug use.
I think an adoring crowd can be a drug.
Hulk Hogan and Ric Flair got in messy divorces.
Some wrestlers start to manage the company, and you're inevitably drawn in by the writers as an easy storyline. I am betting on HHH will try to be the new Mr. McMahon (and fail miserably) because Vince sure as hell isn't traveling with the show anymore.