For me, I've been on all sides of this. Employee of a well funded company with lot's of benefits, great income and a Shit-Ton of rules, policies and procedures. I've been an entrepreneur starting my own company, building everything from a mere idea, raising capital, hiring teams, the whole experience.
Currently I'm an employee and fairly large share holder in someone else's startup. The wages are not that great, but we are a close team, we all live together, we share cars, we hang out together, we're a "family". As we become more and more successful the perks get better and better. We go from sharing apartments to sharing houses, from sharing a car to sharing more cars. We went from working on top of each other in the apartments to our very large and well decorated offices and the family grows. I get to try different approaches at solutions and have way more control over the outcome than I ever had as an employee at a big well funded corporate job.
We all have our own 'why', but logic might not be it. For me, I really enjoy having a mission and being on that mission with my friends. As it's been said "it's about the journey".