1) Starting their own country wouldn't offer them much they don't already have.
2) There's no unclaimed land. That means you either need to build your own land (which is really expensive) or take it off someone else, which probably makes you a criminal around the world and might ruin your life already.
3) Once you've got the land, you've got to defend it, and mercs[1] + military hardware gets expensive really fast.
4) Even then, the nasty things you'd have to do to establish a country and get it recognized around the world will probably cripple your commercial activities.
5) They don't necessarily have much ability for governing/retaining power.
[1] No-one is going to die for Gatestan out of patriotism.