Some people who work under contract do start their own sites, some people already have their own sites. Some are even in the gambling field.
Many people don’t care to work for corporations or big companies. Nor are they ready for the fluctuations of income while building up a site of their own.
If you work as an independent contractor you have freedom. You pick when you work, how you work (butt naked if you like), where you work and how many hours in a stretch you work. Generally you are free to pursue other activities, like going back to school for a degree, building your own sites etc.
I don’t just contract SEO work out but lots of writing and updating and such.
Lots of people like the freedom of doing contract work out of their own homes.