What’s the worst that can happen if you take a career risk?

Kelly had been working in Fortune 500 company in Fairfield County for the last ten years. During that time, she saw most all of her friends let go due to budget cuts, restructuring, reorganization and other corporate shenanigans that have ended thoughts of indefinite employment into the future.  Kelly also didn’t like her work, her current boss, and the now paranoid company atmosphere. She had always dreamed of opening up her own business (I’ll refrain from describing it because it is fairly precise and Connecticut is a relatively small world).  But the risk of doing so stopped her.  
Kelly had been a good saver. Her husband made enough to pay the basic bills.  He was ambivalent about her leaving. He certainly liked her steady salary but her misery and his correct view that her job was on thin ice made him more willing to consider her plunge into the entrepreneurial world.
Nonetheless, Kelly was stuck until we went through the worst case scenario.  She started her business and it failed.  That frightened her.  But, why?  Financial ruin?  Not really.  Her business did not require much capital to start. She would still have strong savings if she brought in no income. Her husband’s job would keep them at least in place.  Kelly also had no qualms about getting another office job and no pretension about taking jobs that were not office jobs.  Even if the business went nowhere in a couple of years, they would fine.  Fear of public failure. Yes.  But we discussed what almost everyone who has started a business understands. People admire those who take risks. Fear of private failure.  Yes.  But what would she look back on with greater regret, starting a business that didn’t work out or never having tried?  That was an easy answer.