This is a common sentiment, but surprisingly it's quite easy to start a business in a country with a more developed social net because the failure consequences are much less severe.
Here's one that shows that Sweden has indeed been more entrepreneurial then the US (2019), see sources at the bottom: https://cepr.org/voxeu/columns/how-sweden-became-more-entrep...
I think it has more to do with a culture that encourages and glorifies entrepreneurship than the safety net.