I think it depends on the business you are building and also on yourself. I don't think everyone will be able to build something good without quitting. I also don't think it's not impossible to build a business while having a job.

I think what most people fail to recognize is that building a business can take years. Everyone thinks (including me, welp) that you can build next big SaaS in a couple of weeks. The truth is that you can't. It will take probably a couple of months at least. The sooner you realize it, the sooner you will succeed.