It is our job as a teacher to ensure that all learners are happy and achieving in their chosen course. However, if a student isn't achieving or happy this could mean that they are on the wrong course and yes I believe it is our job to get them on the right course. It doesn't mean you have failed them as a teacher if they need to change courses, it just literally means that your course isn't right for them. I think the best way to approach it would be to have a tutorial with the student and ask them how they are feeling and what they want to do and then help them explore the different pathways open to them.
I agree with Aimee it is our job as teachers to help in the development of students, and give them advice which is going to help them get to the places they want to be. If a student is on your course and realises it's not for them I believe it is down to you to sit down with them and find out how to get back on track to a career path that suits them.