The "it depends" insight you've already received in other responses here is only part of the correct answer. The full answer is "it depends whether entrepreneurship is relevant to the prospective employer."

Your CV is not really about you... it's about your prospective employer and the skills and experience you bring to them which make you uniquely qualified for a job. I've reviewed thousands and thousands of résumés and I've hired entrepreneurs galore. What mattered was the skills and experience they brought to my company, not so much where they worked.

Don't include information on your résumé which is not related to the job posting or which does not explain exactly why you're a great candidate for the job. For instance, an interest in being an entrepreneur is not relevant. What may be relevant is citing examples of how you've demonstrated an "entrepreneurial approach" if, for instance, the job posting calls for someone who can take initiative to drive new business, develop new relationships or grow an aspect of a company's business.

You may want to explain in your cover letter why you're interested in transitioning from self-employment to a role as an employee or contractor. This will help put a recruiter at ease that you're not a "flight risk" when the first opportunity arises for you to start your own business.

I'm happy to answer any additional questions you may have.