It seems that this is anathema to American culture. In fact, I think the fear of doing so is a common human trait, but why?
I think that there are a myriad of reasons and the unique combination of which is likely a little bit different for every person in every situation. That said, I think there are two common threads that are a part of or drive that fear. One, to fail means a mark on your identity, both in the eyes of others and yourself, and that it is so in the eyes of others only serves to amplify your negative view of it in your own judgment. Two, to fail means loss of (possibly) unrecoverable resources such as time, money and property.
It is my experience, however, that failure is not the negative mark the ignorant place both on themselves and others for experiencing it. Rather, it is the real opportunity for a mark of success. The reason it is that opportunity, is that if you take the time to carefully and properly analyze your failure, you have successfully educated yourself and can apply that knowledge to a second attempt, a third attempt and even to leverage that knowledge into an entirely different endeavor. The loss of resources, in that circumstance of successfully educating yourself, is in fact, the cost of education.
As an extraordinarily bright mentor of mine, Jack, once told me "all education is expensive."
It doesn't really matter how you end up paying for it.