I think the difference between my answer and Dan´s is because the way you phrased ¨start up¨ is a little ambiguous. I was assuming you meant ¨start up a business¨ or go into business for yourself. There is also the term ¨startup¨ used as a noun for a new business where you might still be an employee. (Dan and I both assumed your error in the writing was different: I assumed you did not complete the idea and he assumed you added the space.) Whether you are the only owner, a partner, or an employee, a new business is more risky than an established one. However, some types of businesses, like my little solo professional private practice, do not have such big startup costs, have barriers to competition due to licensing requirements, and have higher rates of success. Technology startups, like the kind that employ engineers are usually much costlier and much riskier.
I have worked at two startups. However, I didn't leave good jobs to join them. Both times I'd been laid off!
My experience is that, for an engineer, working at a startup can be great fun, and a great learning experience. because a startup is the only kind of company that can spend more money than it is earning. And both times, bosses just told the engineers to go solve the problems, and mostly left us alone to do our jobs.
However, most startups fail. The first one only lasted two years. The second one one, I left because I wanted to retire, but it wasn't doing well. It is in a kind of zombie state now--it exists but there are only two people working there.