What is wrong with having more than one religion?

Having a religion isn't just a hobby that you can dabble in piecemeal. Religions are statements of belief about the world. The problem with multiple religions is that just about every religion is going to have core beliefs that put it at odds with another religion's core beliefs. One might think Christianity and Islam compatible because they fundamentally believe in the same God, but that's just a simple surface commonality. Christianity believes in a God that became flesh in the form of Jesus to save humanity, while Islam believes in a God that patently did not do so. (Islam holds that Jesus may have been a prohet of God, but he certainly was not the son of God or divine.) Conversely, Islam holds Mohammed as the first and foremost of God's prohets, while Christianity holds that as false and reveres Jesus as the greatest prophet (on top of being the son).

There is one and only one way the world works, and every religion lays claim to that knowledge. With thousands of answers to the question about the truth of the world, yet only one correct answer (whatever that may be), it is an inescapable fact that believing different religions is believing mutually exclusive propositions, and that is the hallmark of irrationality. One might certainly change one's mind as one goes through life, changes, and learns, and switch religions, but one cannot rationally hold multiple religions to be true at the same time.