Because every year as an entrepreneur you might need to be in the top five or ten companies to have founded a unicorn, but realistically you probably only need to be in the top 500 or 1,000 companies to have a good life outcome. E.g. if it's only you and your cofounder and you haven't raised any money, even if you get literally zero users you can still potentially get acqui-hired for $5M if you're both high-level devs. Obviously not what you were going for, but still a great life outcome for something that only took a year or two. (Unless you had an unusually large opportunity cost in starting the business or are coming from a large previous success or something.)

Whereas for a VC, in order to be successful you really have to invest in one of the ten unicorns that gets created every year. But that's not the bad part, the bad part is that 9 of those 10 are probably going to raise their series A from the same firm (Sequoia). Which means that you either need to invest before there is any evidence of traction and gamble on getting super lucky, or else first spend decades building up your reputation to the point where the biggest startups will consistently let you into their rounds as additional capital.

When investors all talk about how much better it is to be an entrepreneur they're not just blowing smoke up your ass. There is way more capital than there are good startups, and it's a brutally efficient market where the odds are very much not in their favor. YC is consistently taking a good percentage of the best seed-stage startups that exist, and think about how much everyone complains about how shitty they all are every six months.