Online sources suggest about 30% of Stockholm is non-Swedish, and most of those people are European. New York and Chicago are only about 30-35% European descent, and that’s mixed between Irish, German, Swedish, English, etc.
For whatever reason that objective "diversity" doesn't seem diverse to some people.
They also seem to have more but smaller (as a percentage of the total) ethnic groups than the US. Again, while mathematically more diverse than a big chunk of African or Latin-Americans, people seem to view this as less diverse.
It’s way more diverse in Sweden. I lived in NYC, and have travelled a lot in Sweden. Nowadays, large Swedish cities are much more diverse.