Because nationality, ethnicity and culture are important parts of most people's identity and background. What separates people are part of who they are, what makes them them, and who they identify with. While it may separate them from some others, it also makes them closer to some others. Most people naturally think like that.
I don't think I ever think of myself as human, I think of myself in terms of personality, family, things I identify with (3 of the most important being female, aspie and western/European) and stuff I am interested in.