You cannot eat your cake and have it. 
Proverbs on a similar topic
- No man can serve two masters.
- If wishes were horses beggars would ride.
- To carry coals to Newcastle.
- He that is born a fool is never cured.
- You cannot make a silk purse of a sow's ear.
- Look not for musk in a dog's kennel.
- If the young man would and the old man could, there would be nothing undone.
- You cannot flay the same ox twice.
Related proverbs
Similar proverbs in another language
French
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Ménager la chèvre et le chou.
Mixing cabbage and goat.
German
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Man kann nicht Speck haben und das Schwein behalten.
You can't have bacon and keep the pig.
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Man kann die Kuh nur melken oder schlachten.
You can only milk the cow or slaughter it.
Czech
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Vlk se nažral, a koza zůstala celá.
The wolf was fed, and the goat remained whole.
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Dobře bývá, když jsou vlci syti a kozy cely.
It is good when wolves are full and goats are whole.