Because not many europeans primarily identify as “european first”. This is slowly changing but for the most part, people identify by whatever european nation they inhabit. But i bet most chinese identify as “chinese first” instead of whatever region/city they are from.
In fact, China likes to brag about how “advanced” they are, that they solved this “issue” centuries ago, while the EU is currently trying to “copy them”.
TLDR : If you ask a chinese tourist “where are you from?”, they will answer “China”. If you ask a european the same, noone will say “Europe/EU”.