Because being underutilized in a large company is unfulfilling. Because being a staff engineer in a large company gets you no closer to running your own business. Because you want to learn technology that you cannot yet compete for. Because options outside of large companies are limited, especially if you are unable to take large immediate financial risks.

Why not: work for a large company that can do both? Pay reasonably well with low-risk, and let you grow your technology skills + contacts?

A: those companies aren't cool & won't make you a millionaire by 35 on stock options (whereas a startup might)

Personally, because I don't like being told what to do :) If I don't have a significant amount of control I shut down, become depressed, anxious that I'm wasting my life, etc. I'm also wary of being taken advantage of. If I'm going to spend half or more my waking hours working I want to be reaping the profits. I need freedom. I've been directing product at a seed stage startup to get my bearings in the small business world but now I'm feeling antsy because I am starting to think I could be doing better on my own while having more control over my time, the products I build, the money those products earn, etc.

Pitch to some VCs then.

False choice. One does not have to live off ramen at a startup to do those things.