The fact of the matter is that, in countries where the state gives you a lot, they generally take a lot as well. The money needs to come from somewhere.
Most decent entrepreneurs manage to sustain themselves and find a way to build out something regardless of whether the state is handing out money. If I manage to get a win, I want to keep most of my winnings.
I'm European but wouldn't want to live in a country with high income taxes, high capital gains taxes, various hidden levies (luxury cars costing hundreds of thousands, gas being super expensive), high corporate and dividend taxes, and to top it off a nice annual wealth tax. Why even bother trying to achieve more than your fellow citizen in that kind of setting?