If your 401K funds suck (bad performance, high fees), yeah, some plans let you move some of your balance out, usually after a certain age. (That age can vary but is almost never younger than 50.)
That said, there are other considerations. 401K plans (unlike IRAs) allow you to take withdrawals if you separate no earlier than the year you turn 55. That could make staying in even a somewhat subpar 401K more palatable if you plan to retire after the year you turn 55, but before you are 59 1/2.
Also, a 401K plan (and 403Bs, 457s et al), unlike an IRA, is considered a pension plan under federal law and has extra asset protection that IRAs don't have in most states. (Last I checked, only three states -- Florida, Texas and Oklahoma -- gave IRAs the same unlimited asset protection as 401Ks have under federal law.)