To be able to leave your comfort zone, you must first find yourself in it.
Improv means embracing fear and failure. However, like Tim Orr also said before, audiences don't want to see shows in which all actors are uncomfortable all the time, since that makes them feel uncomfortable too.
The idea that Roemer Lievaart defends in his blog post on improblog.nl (in Dutch) is that we prefer to see improvisation actors who are generally in their comfort zone on stage, but dare to take risks.
Moreover, as actors, he argues, don't we also prefer to play with people we feel comfortable with?
As improvisers, we have to leave our comfort zone -- the more the better -- but in order to leave it, you must first find yourself in it. It's like finding a stable platform to jump off of.