Why would an investment into your own business be less risky than a diverse investment in the general market? It doesn't make sense. Anyone who has both loans

Why would an investment into your own business be less risky than a diverse investment in the general market? It doesn't make sense. Anyone who has both loans and stocks is "borrowing to invest in stocks". Because they are investing money that could be used towards paying off their loans. As long as the risk is carefully considered (not too high % loans etc) why not do it?