Risk and reward are relative to your personal status quo. If you are gainfully employed, then leaving to start your own company has real cost (the opportunity cost of your lost income + the cost of your lost savings) and clear risk (the risk of not recovering that cost, the risk of not finding a new job). But there is also real reward (building your network, gaining experience as an entrepreneur, creating a product or service that is loved by your users) and potential reward (becoming profitable, being acquired, going IPO) that can lead to future reward (starting a next company with OPM, gaining a reputation as a successful entrepreneur).

So of course there is risk. As there is reward.

And the simple question for every aspiring entrepreneur is: given your personal status quo, are you willing to incur real cost in exchange for real and potential reward?

It's a personal calculation and a personal decision.