1. The risk associated with opening up your own business is risky. I heard that less than 20% of start up companies survive. People have different risk appetite, some are risk averse while some others are risk taker. Risk averse people may not like opening their own business, since it takes their peace of mind.
2. If you already have a family or dependents, becoming an entrepreneur becomes much riskier. Many people find difficulty in sleeping if their business is not performing well, whereas they need to feed their family or dependents as the breadwinner. In this case, it may be better to work first and get enough money before taking business risks.
3. People work to get the capital so that they can open up their own business in the future. Of course you can use other people's money as an entrepreneur, but self-reliant is an important trait of a successful entrepreneur.
4. Some people prefer to do normal daily job that does not require further thinking, with fixed working hours so that they can spend time with their family in the evening and on the weekends. Becoming an entrepreneur means your life will be highly dynamic, uncertain working time, including doing some works in the evening or in the weekends.