Well, it's history and education.
In every country children are told quite silly things about the world and, in particular, about the importance of their country in the world. This is even worse for current or former empires (UK, France, Germany, Spain, Italy, Greece, Russia, US, China...).
Children there are told they are special and superior in some way to other children who were born in other places. It's not surpising that they end up asuming those lies as something obvious and natural. The most striking example nowdays is of course the United States, just because they are the biggest superpower (China's children are not less indoctrinated, though). Most American adults believe that their country is the biggest democracy the world has ever seen (cough, cough, India), their lifestyle the highest (Scandinavia smiles amusingly with a barely hidden condescending gesture) or that their wars are fought just to defend freedom (and Irak invaded because of the mass destruction weapons, apparently).
In the case of France they take as reference the Napoleonic times where their country was dominant and their language the vehicule of culture and politics in Europe. They also think the French Revolution invented real democracy or something similar (even though American Revolution started more than ten years earlier and Greeks had true democracies a couple thousand years before that).
Of course, those days are long gone, but this is what French are tought since they are small children, so most of them end up believing it.
Nationalism is a serious disease and most countries are infected.