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