There are two kinds of risk. There’s the risk that you won’t gain what you want, and the risk of actual loss.
If you get a job, there’s risk! You might lose that job, you might not like it, etc. But what you’re wagering is opportunity – i.e. you’re “wagering” any other job you could have gotten. You might end up back where you started, but other than the time you spent (which isn’t nothing, of course), you’re not worse off.
If you build a business, there’s risk too – but a very different kind. Let’s imagine that you have to spend $50,000 investing in said business. If the business fails, you aren’t getting most of that money back. You’d be much, much worse off, and that’s on top of the fact that you also have to spend time as well – and probably more than it would take you to discover a job was a bad fit.
The point is, calling something “risky” isn’t automatically a point of comparison. You need to know what you’re wagering, not just your chances of success.
The Opportunity Machine 