I'm not sure about most people. Two points of anecdata: I fell and broke my back almost a year ago. If I had been self employed I would be liable for tens of thousands of dollars. Second: I have a friend who was forced out of the consulting game because of a serious medical issue that private insurance would have cost too much to cover.

I can't generalize from two data points but I can say that for me and my friend, lack of a safety net has absolutely been the show stopper.