That's the conclusion of a very long essay on startups by Paul Graham, and it's an insightful quote.
The reason you feel most comfortable with a job (unless, like me, you're in the minority–a job would destroy my psyche) is that you've been brainwashed by many years of school, socialization and practice. I pick the word brainwashed carefully, because it's more than training or acclimation. It's something that's been taught to you by people who needed you to believe it was the way things are supposed to be. [Download Brainwashed]
If you're a boss, you need applicants, lots of them, to keep the wages you have to pay nice and low. And so the more people who believe they need a job, the better it is for you.
I don't believe that everyone should be an entrepreneur or a freelancer, that everyone should quit their job and go work for themselves. I do believe this:
The less a project or task or opportunity at work feels like the sort of thing you would do if this is just a job, the more you should do it.