If you're working full-time you only have one client. If you're self-employed you usually have multiple clients at a time, which mitigates risk.
Moreover, if you work for somebody else part of that deal is that your employer gets to keep most of the value you create with your work in exchange for relative job security, benefits, social security etc.
Software engineering as an industry is particularly amenable to becoming an entrepreneur and being self-employed because there's a lot less risk involved than in many other industries (less upfront investment required; huge, increasing demand for the foreseeable future).
Therefore the traditional argument for working full-time in order to mitigate risk doesn't really hold for software engineering.
Some people are really good at the technical stuff, but suck at the business side, and couldn’t keep a consulting company running profitably if their lives depended on it.
Some people don’t want to spend eight-nine-ten-eleven-twelve-plus hours a day doing the “real” work, only to then need to spend another few to several hours a day doing all the schmoozing, business development, book-keeping, etc... that are necessary to running a successful consulting company.
Some people don’t multi-task well, or even at all.
These are all things you need to learn about yourself before you dive in headfirst in running your own consulting company.
I'd say though that there's no better - perhaps even no other - way to learn these particular things than by doing them.
So, if you absolutely hate networking, talking to people and the more technical stuff that comes with a business like bookkeeping then yes: Being a self-employed consultant probably isn't for you.
On the other hand you might just think you hate these aspects of running a successful business because you never really did them yourself and only have a vague idea about them. Going down this path can be a great learning experience that can help you discover talents you didn't know you had.
I think people tend to underestimate what they're capable of, which often is especially true for technical types when it comes to anything related to human communication. I've seen quite few self-proclaimed introverts and "I just want to code." people become great presenters and teachers.
Being an employee is something of a default case so many settle for that. Perhaps that's the 'reasonable' thing to do, especially when you're starting out and need to learn anything at all (including the skills you might later be selling as consulting services). It needn't be the end goal, though.
Been there, done that. Hence the response to which you replied. ;)
Or do you mean working in software development as a consultant (contractor) rather than a full-time employee?