Sure you can start up in the US, but just getting in the country is already hard. And why should this be the only option for poor startups!
I would argue it's actually easier to start up in many European countries, due to social safety nets, free health care and universities etc. Eric Ries has made the same case. However getting traction in the US without being there physically is really hard!
I guess Docker is the archetypical company : started in Eu, moved in the US for $$
There are several basic problems. The EU sees tech firms as a foreign source of money that it can squeeze "for free" because there are so few tech firms in Europe to start with. So it passes hostile laws all the time that make business hard under the assumption that big companies can handle it anyway. The Commission does not really care about small companies but the problem is replicated at the local level (UK and Ireland being notable exceptions in my view). The attempts in Spain and Germany to force search engines to pay newspapers is a good example of European countries killing off their own startups in an attempt to extract money from Google and Facebook.
The second is that it gets caught up in politics a lot. The EU places its political priorities first, always. One of the primary ways it achieves its primary goal of replacing European countries with a new super-state is passing lots of EU-level law. It spends huge effort finding places where it can create new regulations, even if none are really necessary.
The "right to be forgotten" is a classic example of the issues here. A right that was discovered by the EU's courts, then written into law by people who do not answer to any voters (thus have no incentive to keep regulation in check), which basically makes it impossible to create a startup search engine of any kind. The EU cookie law is also like that.