Why don't consultants run their own companies? That's easy- no breakdowns, no rain days, no sick employees, no all nighters during snowstorms, no DOT, and on and on...
Also, think of it from an income perspective. They charge + or - $2000 per day plus travel and lodging, plus they sell you software and books, all with virtually no overhead. If I could do it I would too, maybe in 20 more years.