I suspect the answer depends in part on how competent you are at the activity.

For example, if I'm learning to jog at a new cadence (180spm) I need to focus on just that. Once that's become my baseline I can listen to a podcast.

Similarly, if I'm at a stage of unconscious competence [1] driving to work, I can speak with a passenger. However, if it's a new section of road I'll need to pay more attention to signage, etc. at the cost of the conversation.

[1]:https://en.wikipedia.org/wiki/Four_stages_of_competence