Why do entrepreneurs risk failure to go into business?

Economics is based on opportunity cost. That means that if you have two choices, you pick the one that has overall more benefits (in regards to finances, time, etc.). Although it is hard to generalize the reason for diverse people, if you evaluate going in business instead of being employed and the overall benefits are bigger than the costs, you are likely to create your own venture. This easy equation includes the risk you are undertaking.