It isn't. I'm from a economically below-average country in Europe, have lived in a couple others and I've settled down in the north. Almost none of my friends (particularly back home but here too) know how much I make because it's genuinely embarrassing. It's something of a "why do I make so much more when I'm no better than anyone else here?" feeling.
Also I know it's not just me, I see it around me from other people in both countries; the only people I've ever talked about it with was with other friends I know earn similarly to due to similar circumstances at the time.
edit: now that I think about it, while talking about earning a lot is generally shameful, discussing buying expensive things doesn't elicit the same feeling, despite being effectively the same.