How do I help a 14 year old boy with confidence and not wanting to quit everything?

I am thankful my son is a good kid and not into a lot of things other boys are doing (drinking, pot, etc.). He is shy, but gets a long well with other kids, is not bullied, but has little self esteem. He used to be a good baseball player, but has gotten less coordinated now that he is growing and became tall and lanky. Whenever something gets difficult, he just wants to quit and says it is "boring." He is very self conscious and talks about how the "cool kids" think they are better than everyone else. I don't want him growing up thinking he can just quit whatever he wants to, but at the same time, should he quit baseball and spend more time on golf and Tae Kwon Do, which he really enjoys? I am afraid he would just turn around and say he wanted to quit those too at some point when things got rough. I don't know when to give in and when to push back.