I wouldn't say riskier, just more churn. Higher highs and lower lows but you can probably extract more value because there is no middle man (i.e. an employer).

However, one significant risk is losing out on promotions and status if you ever want to return to the corporate world. Seniority is often measured in "time in seat" and taking 10 years off to build your own business can make it harder to jump right back in at a level you'd expect.

The other risk is the stress of uncertainty. At a corporate gig you get a paycheck every two weeks like clockwork. The moment that pattern ends, panic ensues and the company is gone. When you work for yourself you have to be responsible for ensuring the paycheck is there. Quite often freelance work can be feast or famine. You may get a bigger payday than you ever expected one month but prepare because the next month might not bring in a dime.