Some people don't mind that, or even enjoy it. For others, having to deal with all the tasks that go along with running a business, in addition to being the sole developer, can make life much less enjoyable. Especially if you're not fairly well set financially and would have a hard time enduring lean periods.
Not to say it's bad, it's certainly rewarding to run your own business and you gain a lot of freedom. But it's a tradeoff, and one that might not suit everyone.