Because most new businesses fail. So the people best suited to start ones are people with a safety net: a lot of cash saved up, or a well off family to support them.
In short, the people who can't afford to lose their jobs also cannot afford to fail in business.
Have you tried getting a loan from the bank to start a business? Fat chance. And if your business fails, you still gotta pay the bank back its loan (which doesn't solve the problem in the original post. The underprivileged still can't afford to fail).
In short, the people who can't afford to lose their jobs also cannot afford to fail in business.