Well, it's much less risky and stressful.
And in a big company, you can just code most of the time, without doing sales, marketing, legal stuff, customer support, etc.
There's also a lot to be learned from working with others, and working on very large projects that one couldn't do alone.
Edit
See also CodingHorror, obviously more qualified than me on this topic.
Not much of an individual motivation, but on a worldwide scale, a lot of things would be impossible if everyone worked on individual projects only. Think Google search, Deepmind, space ship control, mayor operating systems...
Despite these reasons, building your own projects solo is a great idea for some people and has its own advantages that you miss out on working in a big company.