I really like the answer by @Joe Strazzere. It's pretty thorough from the standpoint of a future gaining employer. This answer is less a competing answer as much an "anecdotal supplement" to his.
I've been self-employed, and frankly it was awesome. I had terrific clients, really good work, and overall it was a terrific time for me. However, it did not survive a particularly calamitous national event at the time. There was nothing that could have prepared me for it, it just happened and that's life. Along that concept was never the idea that it would fail. I had made a decision to leave my employer and had no other job lined up, I simply decided (with encouragement from friends and clients) to start my own business. I never considered re-entering the work force. I never considered the possibility of it not lasting forever. An friend of mine who I refer to as a "serial entrepreneur" once told me: "If you plan for failure, you'll achieve it." So while it doesn't hurt to have some backup ideas, those safety nets will only hold you back in the end.
The real part that I don't @Joe Strazzere's answer doesn't cover is just what such a move can do for your actual skill set and experience. There are many "jobs" that go into maintaining a business, and as a self-employed individual you will be responsible for all of them. No matter what your field of expertise is in, you will not be doing that 100% of the time. Consider the effort it takes to maintain your skills in the job market today where that is your only focus. Now add bookkeeper, facilities maintainer, receptionist, scheduling clerk, and salesman on top of those skills. You will need to spend time doing all of these things at some point. I don't think you need to become an expert at these things, but the time they take up will detract from other things. Maybe you sacrifice family time, maybe you sacrifice your sleep schedule. Whatever it is, there simply isn't enough time in a day to do all of these things.
You can get away with "outsourcing" these things by hiring a receptionist or a CPA, etc., but in the end you will still find that over time your skills will morph from what they are today to more of a business acumen. This isn't a bad thing necessarily, but you have to consider if you plan to re-enter the corporate workforce afterward, will you still be relevant? I don't know your career field so I honestly couldn't say. I'm in software development, and with the time I lost not keeping those skills up to snuff I almost paced myself out of the industry in a single year.
When I did come back to the corporate world, the questions I faced regarded the decisions I made to go into business myself, why the business didn't succeed as I'd hoped, what I'd learned from it. In a couple of cases I was questioned on whether I could handle "working for someone else" again. Because my business was fairly short-lived (about a year), my work ethic and "tenacity" (for lack of a better term) were questioned. What interviewers really seemed to be going after was the idea that if I'd fail for me with everything on the line, what would convince them that I wouldn't fail for them with nothing of my own on the line.
I didn't have competing work when my business folded, but it was always in the back of the mind of the interviewer. There were always subtle questions about dedication, commitment and potential "distractions". There was always at least a casual mention of some corporate policy that forbids external work/jobs without approval or of a required non-compete agreement. I would recommend not having any such distractions when/if you return to a corporate gig as even the suggestion of competition or distraction will be a knock against you.