Do you pick the activities or does he?

I would tend to say that if it is something that he picked, he should stick it out until the end of the season/semester, etc.

If it's something you picked, you may want to try to assess if he is being over-scheduled.

Some limitations can be put in place by allowing him to select a certain number of items each season/semester. Our DD5 is interested in everything, but she gets bored with some quickly, even if she asks in the first place. However when we ask her to choose, there is no choice. She always wants Ballet over everything else.