Sure. Say you're a bright young Harvard business school graduate. You might choose to either found a start-up, or go to a VC firm and help fund start-ups. The latter path is much lower risk (because you're not risking your own money, but rather that of the limited partners), but statistically you'll also probably come out ahead, financially, going that route.

Or to pose another example, starting a restaurant is probably riskier than starting a B2B software company, but also probably much less financially rewarding.