Many people (including me) see their country as a collective of shared history, culture and tradition they can associate themselves with. If you see your country as a 'bureaucratic + economic entity' then probably you've never lived in a foreign country. Believe me, that would completely change your perspective.
Actually, living in another country has completely changed my perspective - the other way. I wish more people would realize just how similar we all are in the end, and how shallow and arbitrary these cultural differences really are.
It's amazing how many people get a sense of superiority simply because they happened to be born in a certain spot. Think of how easy it is for politicians to exploit this feeling. How many wars started this way?
I lived in countries other than that of my birth for most of my life. Understandably, I think, this has given me a very different appreciation.
I mean, what's a "foreign" country, anyway? Is it one different than the one you're raised in? Your parents were raised in? One that doesn't harbor the same culture as you? Where am I from? Is it the country I was born in? The country I grew up in? The country I formed my political beliefs in? That's three different answers, and there are more to choose from.
So, I don't buy this "loyalty" thing. Who am I supposed to be loyal to? Why? Why can't I be loyal to an altogether different country that I like more, but have never spent much time in?
I think you and exit are confusing two different things that are both frequently called "your country". exit is pretty obviously using the "state" as synonym for country, where you seem to mean more "society". As expanded, I can actually agree with both of you.
I agree with both you and davidw that loyalty towards a country is wrong from a formal point a view, but since humans are not entirely rational beings one cannot deny that the random entity you happen to get born into shapes a big part of who you are. Hence, the loyalty to the group of other people 'like you', whatever that means.