Yes, it can be considered rude to talk to someone else while someone is talking to you. When someone is speaking to you, it is polite to give them your full attention and actively listen to what they are saying. Ignoring or interrupting them to engage in another conversation or divert your attention elsewhere can be disrespectful and dismissive.
Listening actively and attentively shows that you value the speaker's words and opinions. If you need to address someone else or have an urgent matter to attend to, it's best to excuse yourself politely from the current conversation and explain the situation. Otherwise, it's generally courteous to wait until the current conversation is over before initiating another one.