I don't think that's true, it's hard finding comparative figures that aren't out of date (one below is mostly ~2004), but it indicates European countries generally have more SMEs per 1000 people than the US, and a couple of more recent articles say the UK still has more.

Anecdotally, I live in Europe and know plenty of entrepreneurs, albeit mostly either in the tech space or as incorporated side gigs.

Source: https://www.nationmaster.com/country-info/stats/Economy/Micr...