Ownership of IP for Rejected Ideas?

My company has been in brainstorming mode and I've proposed a few great ideas which have been rejected. What's my play if I wish to exit company and pursue an idea that I proposed that they've clearly rejected? No development work was ever started, only a business proposal deck.

Someone will surely warn me "They rejected it for a reason, why would you still pursue it?" but the context is that they are very risk averse and I might be able to find other investors/partners who have a different risk appetite.