This is correct in an extremely narrow sense, in the same narrow sense that "there is no such thing as a country." This is because countries are political abstractions, and do not exist as a physical entity, like say, a chair, or a pomegranate.
If we understand "country" to instead refer to the group of people who organize under that system, then you are completely mistaken that "countries don't have values."
You can see this for yourself right now. If it's not too cold, you could strip naked and take a walk in your town for an hour or two.
As you are almost in a country where this is against the local values, you will very likely be asked to dress, or even arrested.
But why?
You said "countries don't have values, countries have interests." So whose "interests" is it for a man (or woman I guess) not to be naked? Well, right, the people living there.
This is just one example of how you can easily see that there are certainly values that are represented by the population, municipality, country, etc.
it's kind of silly to argue that there are no such values. I've just given one example, but I could easily list dozens if you don't find it convincing (just ask me to).