That's because their relationship with employer is voluntary.
I'm not aware of countries where your choice is "do this one specific job for this one specific employer or else starve".
Starting your own venture may be possible but is dependent on aptitude, access to capital and the state of the economy (it's unlikely that we could all start our own businesses for example; the market wouldn't support it).
The recent rise in economic migrants suggest that it many cases it really is easier to switch countries than switch jobs in one's own country.