Because the stress and risks of running a small business as a solo inexperienced first time business owner are insane compared to a regular 9-5.

Especially if you start hiring other people, your liability then increases 10 fold as now anything can happen with them (sick leave, absenteism, low performance, sabotage, etc) but you're still bound to the same deadlines you agreed with your customers or you'll get sued for damages by them.

As an employee you have some basic rights and protections from the state on the limits your employer can squeeze from you, more or less, depending on where you live. As a contractor or company however, you don't, and can be fully liable in court for your failures to deliver regardless of your personal circumstances. Unless you know what you're getting into and have the know-how, experience, or mentorship, it's not worth it in most cases.