If changing careers also means changing job industries, it can be a pain. If you been in one industry for a long time for 15 to 20 years and more, places will be afraid to hire you in fear if something comes along in your original field that you will leave fast. My dad had that problem when he was thinking of leaving the exhibit industry and he was in it for 20 years at the time. Places thought he was overqualified and figured if a job came up with an exhibit company he would leave in a heartbeat.
That's the only risk I can see is if you were in a career too long and no one would even look into you because of it. It doesn't hurt to apply while still working at your original career/job.
But it's up to the individual to choose when they think is the right time for them.