Can I choose to just sell the digital copy of my physical asset (art/collectible) as NFT while retaining the ownership and legal possession of the physical art/collectible?

Yes.  If you are the rightful owner in legal possession of the physical asset: be it art, video, sports memorabilia, or any collectible, you can choose to just mint the digital version of it (scanned image, photos, video recording, etc.) and sell them as digital NFTs while you choose to not sell the physical asset.  In doing so, you would continue to retain the ownership and legal possession of the physical asset.  You need to explicitly state that the digital asset doesn't come with its "Digital Twin".