In a convex $k$-gon there are $k-3$ diagonals from each vertex. There are $k$ vertices, and each diagonal connects two vertices. So there are $\frac12k(k-3)$ diagonals in all.
Now suppose that each diagonal is parallel to a side. There are $k$ sides, so the average number of diagonals parallel to each side will be $\frac12(k-3)$. The situation will be more complicated if some sides are parallel to other sides, but in any case there must exist at least one side that has at least $\frac12(k-3)$ distinct diagonals parallel to it.
If $k$ is odd then that causes no problems. For example, if $k=7$ there is the example of of the regular heptagon, as pictured below. In this case, $\frac12(k-3)=2$, and you can see that each coloured side is parallel to two diagonals of that same colour.
https://www.physicsforums.com/attachments/297
But if $k$ is even then $\frac12(k-3)$ is not an integer. Since each side must be parallel to an integer number of diagonals, it follows that there must be some edge that has at least $\frac12(k-2)$ diagonals parallel to it. Call that edge $A_1A_k$, where the vertices have been labelled (consecutively) $A_1,A_2,\ldots,A_k$. Each of those parallel diagonals connects two vertices, thus accounting for a total of $k-2$ vertices. The edge $A_1A_k$ also connects two vertices, so altogether that uses up the entire number of $k$ vertices. The only way for that to happen without any of those diagonals crossing each other is if the diagonals are $A_2A_{k-1}$, $A_3A_{k-2}$ and so on up to $A_{k/2}A_{(k/2)+1}$. But that last one is not a diagonal at all, since it connects two consecutive vertices and is therefore an edge.
That contradiction shows that the construction is not possible in the case when $k$ is even.