I have largely worked for myself but have been employed for the odd 1 or 2 year stints too. I remember distinctly when employed of feeling like I was owned by my employer for the 8 hours or whatever a day.For me, it is far deeper, linked to what @brownmane and @merricat mention in terms of the feeling of the loss of freedom, creativity and control of one's own time.
On the other hand if you are self employed you can feel even more pressure from customers, trying to fulfill demand and it was at least nice, when employed, to be able to switch off from the job until Monday am again.
Now I work mainly from home it is different again. I still feel that Sunday evening feeling a little bit strangely, but maybe that is just habit after all the years. Also with everything to hand it is difficult to switch off completely and I do tend to find myself checking emails etc at all times of the day and weekends too. Still prefer it to the other work options I have done though