After centuries of beating off various parts of europe at one time or another (and loosing half the time, it has to be said) many brits feel like the EU is simply another way for Europe to rule the UK.
I think one way of putting it is this, if you ask a dutchman his or her nationality, they may say either dutch or european depending on who is asking. If a brit or a scott or welshman is asked, it will always be british, scottish or welsh respectively every time.