Not everyone wants to deal with running a company. If I started my own company, I'd have to be involved in hiring/firing people, worrying about whether I had enough cash flow to make payroll, and all sorts of other things I'd rather not be doing. That would probably burn me out faster than being employed as a developer. (In a previous job, I almost burned out from the stress of being a manager, and then went back to being a developer, so I know first hand some of the burdens of management.) Besides, my employer treats me pretty well.