The countries with significantly higher startup rates than the USA are those with stronger, more comprehensive, and more centralised social safety nets, along with correspondingly higher taxation.
How many Americans are locked into jobs they hate by the fear of losing health benefits? No Dane ever has to worry about losing her right to medical care by quitting her job to go it alone. Norwegians could in conservative theory decide that work isn’t worth it and live comfortably off the dole, but in practice they don’t. In New Zealand, the insurance principle has been largely abandoned: most benefits have nothing to do with contribution records.
Wimberley argues via analogy as well as by statistics that safety devices cost money, but they pay off: the range of pursuits/opportunities that people are willing to consider is extended when the worst risks are minimised. See Wimberly’s entire post – Safety Nets: Hammocks or Trampolines? for the rest.