It's unusual for them to be entrepreneurs in anything with a high barrier to entry. Instead they have to become entrepreneurs (and take on extra risk) because they can't easily get other jobs.
Spoken from a German POV, it's quite simple: racism. When you're an immigrant and no one wants to hire you because you have a non-German family name (illegal in theory, hard to enforce in practice!), you have four options: be stuck in low-level menial work for the rest of your life, rely on food stamps/government assistance ("Hartz IV" in Germany), turn into crime life or start a small company (costs ~ 50€ or such for a fully-liable company, and for a sorta-limited company "UG" a bit more).
Also, immigrants usually do not carry cultural dead weight - once again I refer to Germany. Starting a company is not really popular here, as you will be socially shunned if you fail (even if you not end up bankrupt in the process, but that's another can of worms). Germans are risk-averse to the extreme, immigrants usually not.
Since I'm also German, I would like offer a different reason. I frequently observe people on HN talking about their "side projects", where they build a simple app or website in their spare time, and people are willing to pay a dollar a month or so, which (when summed over maybe 1000 users) makes for a decent secondary income.
When I consider such a model for myself (just as exploratory thought because I don't have a nice side project idea ATM) it quickly devolves into a nightmare where I spend all my free time filling out tax report forms so that the Finanzamt can collect taxes on my maybe 100 euros per month.
Maybe that's a misconception and it's much easier to operate a side business as a one-man show, but that's the mental image in my head, and that's also the main reason why I would be quite reluctant to even consider just a side project.
