Why should I change?
Ignoring, for a moment, that by the time you hear this you’ve likely already begun working with a client that appears to have low courage, humility, and discipline, you can note that your goal is to help them see the other side of their statement.
One way to address this is to say “You’re right. If this isn’t for you, you can quit.” But don’t stop there. Prod their thinking with, “The key is that when you quit, what will that communicate to those around you?”
Assuming you have already engaged in Behavioral Interviews or some sort of 360 feedback, the leader has already communicated to respondents that they intend to get feedback for improvement. By backing out now they create a very awkward situation for themselves and others by bailing on their commitment.
There is no ‘one way’ to address this objection, but it tends to be best managed with levity.