When was the last time you saw Brett Favre in a mall? When is the last time you saw anyone famous (as famous as those I mentioned) anywhere in public?
Eric is right, it gets out of control. That is why most of them walk around with bodyguards of some sort.
In India, even the small politicians have a bodyguard.
I have seen Deion Sanders coming to a TomThumb in Plano,TX. That did not create any mayhem(let alone not a single soul approached him while he was buying some stuff).
The same goes for Troy Aikman in DFW airport check in counters. Nothing happend there either(it was in year 1997).
Don't give bogus publicity for american athletes. They are not for sure treated like the cricket players in India. I have first hand experience of both sitautions. I can sure give objective judgement on this.