Sailing close to shore, in sounds, bays, etc., brings up challenges that you may not be considering because that's the only place you have sailed.
I find sailing on the open ocean more peaceful, relaxing and, at times, boring.
There are no rocks, sand bars, and few buoys to crash into. The wind is tricky coming onto or of of land and often gustier.
Six foot seas in open water on a moderate day are just rollers. A three foot chop in shallow water can be a wet pounding ride.
It is easy to simply alter course a bit in open water to ease heeling or get control. In closed waters this is often not the case, you either make the mark or you tack/jibe-NOW.
Their are other challenges to open water that others have mentioned. I just wanted to bring up some of the ways it can seem easier.
Getting into/out of the harbor, depending on your location can also bring up it's own set of issues, but that depends on local conditions, tides, currents, etc. It it's just uncomfortable and not unsafe then it's simply a matter of preparing for the few minutes of crazy stuff that may ensue.