While I somewhat agree with @Solar's answer, I'd like to offer another perspective to it. It totally depends on your manager and the context in which you are talking as to how your statement is taken.
Not every (sane) manager essentially takes this as a red flag. It's commendable to have goals towards professional progression. Running a business is not an easy endeavour and eagerness to do so shows professional ambition and strong will power.
Having goals to setup a business doesn't mean you aren't loyal to your current job and employer. Everyone needs a job initially to make a living as well as grow professionally. Even most of your seasoned and highly successful entrepreneurs started their career working for someone else.
In fact if you end up getting successful, it will likely benefit your network, your team and even your current employer professionally (more than you realize).
Now about the second part. Your mentioning about it should fall under proper context, so as not to be taken otherwise by your current or future manager, or the employer. The tone should never coney intentionally or unintentionally that you aren't committed to your current responsibilities.