You cannot have your cake and eat it (too).
Prov. You cannot enjoy two desirable things at the same time. Jill: There's an apartment across the street from me, much bigger and prettier than mine, and it even costs less. I'd really like to rent it—but I don't want to go to the trouble of moving. Jane: You can't have your cake and eat it too. Fred: I want to lose weight, but I'm not willing to change the way I eat. Alan: You can't have your cake and eat it.