I agree with The Judge. It depends on you.
I long resisted working on anything but my overarching (overreaching?) project (a series of novels, the plot of which has become rather complicated, the setting of which I have spent years creating).
Changes in my life recently have caused me to reassess what I'm doing. I've put the ol' project on the back burner for a while I indulge my desire simply to write. (Before this, I had stopped all writing-related activity for almost a year, and I wasn't sure when I'd be able to 'pick up the pen', again.)
Right now, I'm doing both. That is to say, I'm writing both a short story and a novella, and considering trying to find a market for my previous short. I'm focusing more on the new short right now, because there's a submissions deadline, but the longer piece is always open, and I can add to it whenever I feel like it. If I don't feel like it, it doesn't bother me, it just sits in the background.
I also have several other ideas which are 'filed away' (they're not, actually, they're in an open file, but it's the same thing) for later development. These vary from a mere sentence (or a few sentence fragments) to a couple of pars, and at least one of them will hopefully grow into my next project when I finish what I'm currently working on.
Of course, I might have thought of something altogether new, by then.