There are several ways to make money via start-ups:
I have chosen #4 after trying #2 and enjoying it for a few years. While revenue is still modest (barely above a million per co-founder per year, but growing nicely), it is still far above anything I could get working for a company (as an employee), much less stressful, with a job far more secure, fun, which I can do from any remote beach or mountain resort, with no commute. More on this in my upcoming Wiley book on Data Science.
Read comments from people who succeeded with #2. It is now harder to get decent finding though.
Here are a few start-up ideas for data scientists: