It depends heavily on the child too.
Our first wouldn't settle in cot on her own, to the extent that we co-slept (at least in a cot attached to our bed for ~2 years).
Our second, he wouldn't settle in a co-sleeping siutation at all, and has actually ended up being much better at sleeping in his own cot in the room with his sister.
My hunch is that its the noise, going into your own room with nobody else, complete silence. That's scary. Sharing a room with others and hearing their breathing and moving and such is calming.