Entrepreneurship is expensive & risky. Getting something off the ground requires cash in the bank. Knowing that you have a familial safety net provides a whole lotta peace of mind. Additionally, being a successful entrepreneur--with some interesting but statistically irrelevant exceptions--requires a well-connected network.
Lack of exposure to free market principles. The military does indeed teach you to think on your feet, but it does so in an environment where most people have absolutely no exposure to the cost of the stuff they're using, and they never feel any actual budget pressure. I could talk more about this, but I'll just say that there are some key components of running a business that the US military distorts pretty severely due to its structure (public entity) and its size/level of funding.
Lack of exposure to enterprise environments. A lot of good ideas--good in the sense that there is a market for the product or service being produced--come from people who work in big companies and think "you know, there's really no good way to [fill in blank], and we waste a lot of time/money with a subpar solution…" (Think Benioff here.) With the military, however, it's really hard to develop a product that satisfies unmet need AND that can get through the military's Byzantine procurement process. Essentially, the industry where vets have expertise is nearly impossible to sell into.
Culture. The military likes to think of itself as an organization that has evolved a lot during the past 10-15 years. They emphasize lower level leadership now, which means that corporals & sergeants get to make more decisions. But let's be real: it's still the military. The confines are still pretty narrow, the organization still extremely hierarchical. Your conduct and appearance will be monitored, and if you're too far outside the military norm, you will indeed be penalized. I think the military does an excellent job of training people--junior officers in particular--to work for large companies. But I don't think it's a great training ground for entrepreneurs.
I could point you toward plenty of data on veteran unemployment over the last 10 years, but I think that only gets at your question obliquely. A better approach might be to look at AngelList.
AngelList Entrepreneurs who list themselves as Stanford alumni: 3,655
Total Students: 17,833
AL to Student Body ratio: .204
AL Entrepreneurs who list themselves as UPenn alumni: 1,947
Total Students: 21,329
AL to Student Body ratio: .091
AL Entrepreneurs who list themselves as Michigan alumni: 1,500
Total Students: 43,426
AL to Student Body ratio: .034
AL Entrepreneurs who list themselves as Army alumni: 49
Total Soldiers: 541,291
AL to Soldiers in Army ratio: .00009
AL Entrepreneurs who list themselves as USMC alumni: 27
Total Marines: 195,338
AL to Marines in Corps ratio: .00013
Obviously, there are all kinds of issues with this little analysis, but I think we can agree: the Corps ain't Stanford.