In my case I'd say it's a combination of a lot of different factors (some valid, some possibly bogus, whatever).
In no particular order:
→ Desire to have more control over my own fate / not have a "boss" in the conventional sense
→ Desire to build something bigger than myself
→ Desire to leave a legacy behind that would outlive me
→ Desire to change the world / improve people's lives by creating jobs, creating a place to work that reflects the values of the kind of place I'd want to work
→ Desire to be wealthy
→ Desire to prove doubters / critics wrong
→ Desire to build a great team and do fun things together
etc. It's hard to weight those and say which are most relevant compared to the others, but the "desire not to have a boss" is definitely up there, along with the fact that I just like building things (in this sense, I'm referring to "building" company).
And yes, before somebody says it, I know that "you always have a boss" in some regards. But a "boss" in a metaphorical sense, referring to "the board", "the market", "your customers", etc. is still qualitatively different than having one discrete individual, who has you under his/her thumb, and can yell "jump" while expecting you to say "how high" and who can fire you at will, and generally boss you around.