Most people don't have a choice. Setting up your own business requires capital; if people are working, they generally don't have that. Even if they did, they need knowledge to get the business going. Nowadays, there are internet jobs which make it easier to go into business for yourself, but it's still difficult.
In the late 1980s, I once met a young woman in Santa Cruz who was selling flowers on the sidewalk. She said she was going into business for herself because she was sick of being fired. She sold me a red rose for $2. She'd have to sell A LOT of roses at that price to earn a living!